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
m window Rolling window length	21
α ARCH Response to squared shocks	0.2130	16.23***
β GARCH Volatility persistence	0.6819	49.93***
γ leverage Additional response to negative shocks	0.0079	0.43
λ₁ tau intercept Baseline long-term coefficient	0.0137	3.39***
λ₂ forecast adj. Forecast performance sensitivity	0.0101	7.80***
λ₃ tau persistence Long-term factor persistence	0.9891	612.04***

V-Lab

Onex Corp (Japan) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses