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	0.3645	14.14***
α ARCH Response to squared shocks	0.1439	21.89***
β GARCH Volatility persistence	0.8309	134.31***
γ leverage Additional response to negative shocks	0.0505	3.73***

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Onex Corp (Japan) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses