Nikkei Stock Average Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1270	7.32***
α ARCH Response to squared shocks	0.1742	5.82***
β GARCH Volatility persistence	0.5810	9.88***

γ₁	-0.0300	-0.28
γ₂	0.0242	0.13
γ₃	0.0023	0.02
γ₄	-0.0009	-0.01
γ₅	0.0379	0.46
γ₆	-0.0997	-1.49
γ₇	0.1514	1.91*
γ₈	-0.2213	-2.51**
γ₉	0.2827	3.36***
γ₁₀	-0.1961	-2.96***

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Obara Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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