Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1856	4.09***
α ARCH Response to squared shocks	0.2661	7.23***
β GARCH Volatility persistence	0.6121	14.58***

γ₁	-0.1637	-0.95
γ₂	0.4174	1.70*
γ₃	-0.5390	-3.45***
γ₄	0.5528	3.39***
γ₅	-0.4564	-2.57**
γ₆	0.2144	0.97
γ₇	0.0411	0.18
γ₈	-0.3626	-2.06**
γ₉	0.8399	5.81***
γ₁₀	-0.8245	-7.40***

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Ito Yogyo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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