FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.7049	2.39**
αARCH	0.2543	3.35***
βGARCH	0.6208	10.03***
γleverage	-0.0709	-0.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7049	2.39**
α ARCH Response to squared shocks	0.2543	3.35***
β GARCH Volatility persistence	0.6208	10.03***
γ leverage Additional response to negative shocks	-0.0709	-0.52

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Catalyst Media Group PLC Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses