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	2.0486	4.54***
α ARCH Response to squared shocks	0.2624	8.03***
β GARCH Volatility persistence	0.6062	14.61***

γ₁	0.0415	0.88
γ₂	-0.1194	-1.79*
γ₃	0.1460	3.34***
γ₄	-0.1094	-2.25**
γ₅	0.0686	1.46
γ₆	-0.0210	-0.45
γ₇	0.0056	0.12
γ₈	-0.0262	-0.75

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