FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 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	1.0000	5.03***
α ARCH Response to squared shocks	0.1597	9.08***
β GARCH Volatility persistence	0.7403	49.63***
γ leverage Additional response to negative shocks	-0.0527	-1.67*
δ power Transformation power	1.9022	14.46***

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Catalyst Media Group PLC Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses