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	39.5725	13.02***
α ARCH Response to squared shocks	0.1214	29.18***
β GARCH Volatility persistence	0.9357	196.53***
ν DF Student-t tail thickness	4.6159	10.42***

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Nikkei Stock Average Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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