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	66
α ARCH Response to squared shocks	0.0783	16.59***
β GARCH Volatility persistence	0.6676	54.83***
γ leverage Additional response to negative shocks	0.0822	10.11***
λ₁ tau intercept Baseline long-term coefficient	0.0875	1.27
λ₂ forecast adj. Forecast performance sensitivity	0.0617	1.62
λ₃ tau persistence Long-term factor persistence	0.9204	18.65***

V-Lab

Casio Computer Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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