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	1.4267	2.87***
α ARCH Response to squared shocks	0.1339	5.98***
β GARCH Volatility persistence	0.7524	18.85***

γ₁	0.0821	0.77
γ₂	-0.1449	-1.01
γ₃	0.0506	0.65
γ₄	0.0494	0.79
γ₅	-0.0470	-0.84
γ₆	-0.0625	-0.86
γ₇	0.2078	2.36**
γ₈	-0.2284	-2.70***
γ₉	0.1405	2.16**
γ₁₀	-0.0606	-1.40

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Isewan Terminal Service Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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