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	8.3596	2.47**
αARCH	0.2273	269.00***
βGARCH	0.9990	2,454.55***
νDF	2.0000

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.3596	2.47**
α ARCH Response to squared shocks	0.2273	269.00***
β GARCH Volatility persistence	0.9990	2,454.55***
ν DF Student-t tail thickness	2.0000

V-Lab

Catalyst Media Group PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses