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	1.4306	7.71***
α ARCH Response to squared shocks	0.1155	6.96***
β GARCH Volatility persistence	0.7691	24.49***

γ₁	-0.0649	-1.40
γ₂	0.1698	2.45**
γ₃	-0.2142	-4.59***
γ₄	0.1823	4.63***
γ₅	-0.1140	-3.42***
γ₆	0.0495	1.46
γ₇	0.0445	1.11
γ₈	-0.1355	-3.03***
γ₉	0.1445	3.28***
γ₁₀	-0.0821	-2.38**

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