FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.7484	8.18
$α$	0.0786	8.12
$β$	0.8904	77.71
$γ_{1}$	-0.0469	-1.69
$γ_{2}$	0.1088	2.45
$γ_{3}$	-0.1543	-4.86
$γ_{4}$	0.2067	7.10
$γ_{5}$	-0.2094	-7.19
$γ_{6}$	0.1392	4.18
$γ_{7}$	-0.0403	-1.06
$γ_{8}$	-0.0583	-1.03

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Barclays PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Barclays PLC Analyses