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
m window Rolling window length	21
α ARCH Response to squared shocks	0.2302	30.29***
β GARCH Volatility persistence	0.6583	52.13***
γ leverage Additional response to negative shocks	-0.1796	-12.98***
λ₁ tau intercept Baseline long-term coefficient	0.2185	2.05**
λ₂ forecast adj. Forecast performance sensitivity	0.0125	3.01***
λ₃ tau persistence Long-term factor persistence	0.9814	147.86***

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