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	0.8411	4.69***
α ARCH Response to squared shocks	0.1056	5.61***
β GARCH Volatility persistence	0.8316	31.25***

γ₁	0.2190	2.39**
γ₂	-0.5918	-4.14***
γ₃	0.7067	7.19***
γ₄	-0.5312	-6.31***
γ₅	0.3307	3.41***
γ₆	-0.2996	-2.78***
γ₇	0.2530	3.22***
γ₈	-0.0212	-0.24
γ₉	-0.1139	-1.48

V-Lab

Asaka Industrial Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Asaka Industrial Co Ltd Analyses