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FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4565	2.74***
α ARCH Response to squared shocks	0.2767	66.82***
β GARCH Volatility persistence	0.9990	5,123.08***
ν DF Student-t tail thickness	2.0000

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Kuaishou Technology GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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