Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8052	6.68***
α ARCH Response to squared shocks	0.1701	9.20***
β GARCH Volatility persistence	0.7198	25.49***

γ₁	-0.1865	-1.93*
γ₂	0.1900	1.17
γ₃	-0.0805	-0.56
γ₄	0.2894	1.83*
γ₅	-0.4331	-2.18**
γ₆	0.4207	2.15**
γ₇	-0.3649	-2.19**
γ₈	0.2704	1.57
γ₉	-0.2727	-1.40
γ₁₀	0.2945	2.12**

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Yamada Consulting Group Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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