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	1.2698	5.19***
α ARCH Response to squared shocks	0.0977	8.07***
β GARCH Volatility persistence	0.8324	38.76***

γ₁	-0.0502	-0.89
γ₂	0.1312	1.63
γ₃	-0.1645	-3.47***
γ₄	0.1474	3.54***
γ₅	-0.0870	-2.37**
γ₆	0.0244	0.66
γ₇	0.0204	0.35
γ₈	-0.0939	-1.09
γ₉	0.1575	1.93*
γ₁₀	-0.1194	-2.42**

V-Lab

Akita Bank Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Akita Bank Ltd Analyses