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	1.1265	3.69***
α ARCH Response to squared shocks	0.1958	5.24***
β GARCH Volatility persistence	0.7141	15.89***

γ₁	-0.1908	-3.46***
γ₂	0.2796	3.33***
γ₃	-0.0808	-1.09
γ₄	-0.0927	-1.15
γ₅	0.1753	2.02**
γ₆	-0.1928	-2.34**
γ₇	0.2506	3.49***
γ₈	-0.2244	-4.34***

V-Lab

Onex Corp (Japan) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses