Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3743	3.58***
α ARCH Response to squared shocks	0.2463	4.66***
β GARCH Volatility persistence	0.5719	9.41***

γ₁	0.3273	1.66*
γ₂	-0.4926	-1.75*
γ₃	0.3272	1.86*
γ₄	-0.4565	-2.51**
γ₅	0.6762	3.60***
γ₆	-0.7926	-4.38***
γ₇	0.7955	3.65***
γ₈	-0.6703	-2.82***
γ₉	0.4422	2.27**
γ₁₀	-0.1950	-1.87*

V-Lab

Fujipream Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fujipream Corp Analyses