Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2759	4.68***
α ARCH Response to squared shocks	0.1888	7.65***
β GARCH Volatility persistence	0.6125	16.83***

γ₁	0.1532	2.80***
γ₂	-0.1646	-2.18**
γ₃	0.0093	0.20
γ₄	0.0177	0.43
γ₅	-0.0054	-0.14
γ₆	-0.0484	-1.06
γ₇	0.0705	1.14
γ₈	-0.0589	-0.92
γ₉	0.0641	1.29
γ₁₀	-0.0629	-1.82*

V-Lab

Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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