Nikkei Stock Average Volatility Index

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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	0.0140	5.24***
β GARCH Volatility persistence	0.7858	112.14***
γ leverage Additional response to negative shocks	0.1769	31.13***
λ₁ tau intercept Baseline long-term coefficient	0.0122	4.34***
λ₂ forecast adj. Forecast performance sensitivity	0.0440	5.31***
λ₃ tau persistence Long-term factor persistence	0.9493	100.71***

V-Lab

TOPIX 100 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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