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	3.2468	19.70***
α ARCH Response to squared shocks	0.1498	27.97***
β GARCH Volatility persistence	0.7763	112.65***

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Nikkei Stock Average Volatility Index GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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