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	2.0488	4.49***
α ARCH Response to squared shocks	0.2643	8.05***
β GARCH Volatility persistence	0.6057	14.62***

γ₁	0.0422	0.88
γ₂	-0.1208	-1.80*
γ₃	0.1468	3.36***
γ₄	-0.1089	-2.25**
γ₅	0.0670	1.42
γ₆	-0.0193	-0.40
γ₇	0.0055	0.12
γ₈	-0.0271	-0.76

V-Lab

Canare Electric Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canare Electric Co Ltd Analyses