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	26
α ARCH Response to squared shocks	0.1073	20.06***
β GARCH Volatility persistence	0.5542	41.00***
γ leverage Additional response to negative shocks	0.1260	12.13***
λ₁ tau intercept Baseline long-term coefficient	0.0237	1.82*
λ₂ forecast adj. Forecast performance sensitivity	0.0121	3.23***
λ₃ tau persistence Long-term factor persistence	0.9849	215.24***

V-Lab

Megachips Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Megachips Corp Analyses