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	0.7972	6.60***
α ARCH Response to squared shocks	0.1710	9.23***
β GARCH Volatility persistence	0.7197	25.56***

γ₁	-0.1905	-1.95*
γ₂	0.1940	1.19
γ₃	-0.0802	-0.55
γ₄	0.2886	1.80*
γ₅	-0.4317	-2.15**
γ₆	0.4174	2.13**
γ₇	-0.3587	-2.15**
γ₈	0.2624	1.51
γ₉	-0.2637	-1.34
γ₁₀	0.2876	2.05**

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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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