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
ω const Unconditional variance weight	1.1779	3.58***
α ARCH Response to squared shocks	0.1881	7.59***
β GARCH Volatility persistence	0.6504	18.00***

γ₁	0.0013	0.02
γ₂	-0.0878	-0.94
γ₃	0.1801	3.44***
γ₄	-0.1323	-2.27**
γ₅	-0.0391	-0.63
γ₆	0.2421	4.48***
γ₇	-0.2599	-4.56***
γ₈	0.0687	1.02
γ₉	0.0703	1.31

V-Lab

CAR Mate MFG Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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