Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4639	5.16***
α ARCH Response to squared shocks	0.1424	3.82***
β GARCH Volatility persistence	0.7258	12.69***

γ₁	-0.2959	-2.97***
γ₂	0.2230	1.52
γ₃	0.2257	2.18**
γ₄	-0.3062	-2.82***
γ₅	0.2387	2.45**
γ₆	-0.1444	-1.86*
γ₇	0.1639	2.46**
γ₈	-0.1542	-3.10***

V-Lab

Meiko Trans Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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