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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0082	3.05***
β GARCH Volatility persistence	0.7899	135.79***
γ leverage Additional response to negative shocks	0.1892	33.93***
λ₁ tau intercept Baseline long-term coefficient	0.0291	4.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0616	5.47***
λ₃ tau persistence Long-term factor persistence	0.9245	68.51***

V-Lab

Nikkei 225 MF2-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

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