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EURO STOXX 50 Volatility Index

Nikkei Stock Average Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1075	22.64***
β GARCH Volatility persistence	0.6354	48.18***
γ leverage Additional response to negative shocks	0.1024	11.94***
λ₁ tau intercept Baseline long-term coefficient	0.3516	1.82*
λ₂ forecast adj. Forecast performance sensitivity	0.1823	1.96*
λ₃ tau persistence Long-term factor persistence	0.7778	6.79***

V-Lab

Softbank Group Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Softbank Group Corp Analyses