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	1.2674	2.88***
α ARCH Response to squared shocks	0.1167	6.94***
β GARCH Volatility persistence	0.8017	30.90***

γ₁	0.0403	0.57
γ₂	-0.1123	-1.21
γ₃	0.1620	3.87***
γ₄	-0.1612	-4.58***
γ₅	0.1020	3.14***
γ₆	-0.0301	-0.97
γ₇	-0.0216	-0.69
γ₈	0.0400	1.65*

V-Lab

Nitta Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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