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	1.6240	2.83***
α ARCH Response to squared shocks	0.1785	5.83***
β GARCH Volatility persistence	0.6356	11.76***

γ₁	0.9249	2.02**
γ₂	-1.5220	-2.52**
γ₃	0.9377	3.35***
γ₄	-0.6465	-2.16**
γ₅	0.5673	1.67*
γ₆	-0.1649	-0.55
γ₇	-0.2723	-1.19
γ₈	0.2080	0.50
γ₉	0.1947	0.36
γ₁₀	-0.4433	-1.18

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Makoto Construction Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Makoto Construction Co Ltd Analyses