Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2329	17.78***
β GARCH Volatility persistence	0.6421	47.69***
γ leverage Additional response to negative shocks	0.0032	0.17
λ₁ tau intercept Baseline long-term coefficient	0.0161	3.22***
λ₂ forecast adj. Forecast performance sensitivity	0.0108	7.37***
λ₃ tau persistence Long-term factor persistence	0.9881	535.26***

V-Lab

Onex Corp (Japan) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses