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	0.8075	5.71***
α ARCH Response to squared shocks	0.1533	7.33***
β GARCH Volatility persistence	0.6371	12.94***

γ₁	-0.1339	-1.66*
γ₂	0.0033	0.03
γ₃	0.4210	5.41***
γ₄	-0.5457	-6.56***
γ₅	0.4511	4.64***
γ₆	-0.2925	-2.76***
γ₇	0.1400	1.31
γ₈	-0.1384	-1.21
γ₉	0.1548	1.53
γ₁₀	-0.0596	-0.85

V-Lab

Daito Chemix Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Daito Chemix Corp Analyses