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	2.8609	21.51***
α ARCH Response to squared shocks	0.1784	19.64***
β GARCH Volatility persistence	0.8053	129.10***
γ leverage Additional response to negative shocks	-0.1148	-7.90***

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