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	0.1401	1.84*
αARCH	0.1241	3.34***
βGARCH	0.9588	43.94***
γleverage	-0.0452	-1.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1401	1.84*
α ARCH Response to squared shocks	0.1241	3.34***
β GARCH Volatility persistence	0.9588	43.94***
γ leverage Additional response to negative shocks	-0.0452	-1.05

V-Lab

Catalyst Media Group PLC EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses