Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4366	7.73***
α ARCH Response to squared shocks	0.1148	6.92***
β GARCH Volatility persistence	0.7712	24.56***

γ₁	-0.0649	-1.39
γ₂	0.1706	2.45**
γ₃	-0.2156	-4.59***
γ₄	0.1831	4.63***
γ₅	-0.1138	-3.39***
γ₆	0.0484	1.41
γ₇	0.0460	1.14
γ₈	-0.1358	-3.01***
γ₉	0.1422	3.18***
γ₁₀	-0.0790	-2.23**

V-Lab

Hu Group Holdings Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hu Group Holdings Inc Analyses