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	1.0923	5.47***
α ARCH Response to squared shocks	0.1125	10.16***
β GARCH Volatility persistence	0.8399	54.77***

γ₁	-0.0175	-0.39
γ₂	0.0857	1.28
γ₃	-0.1962	-4.20***
γ₄	0.2523	5.54***
γ₅	-0.1763	-3.35***
γ₆	0.0129	0.25
γ₇	0.1246	2.89***
γ₈	-0.1145	-2.51**
γ₉	0.0168	0.46

V-Lab

Nissan Motor Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nissan Motor Co Ltd Analyses