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	1.0573	7.25***
α ARCH Response to squared shocks	0.0885	7.39***
β GARCH Volatility persistence	0.8422	43.11***

γ₁	-0.0447	-1.45
γ₂	0.1376	3.10***
γ₃	-0.1881	-6.27***
γ₄	0.1796	4.88***
γ₅	-0.1568	-2.92***
γ₆	0.1033	1.82*
γ₇	-0.0351	-0.72
γ₈	0.0010	0.02
γ₉	0.0081	0.19

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Casio Computer Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Casio Computer Co Ltd Analyses