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
mwindow	56
αARCH	0.1044	2.55**
βGARCH	0.4557	3.53***
γleverage	0.0388	0.59
λ₁tau intercept	4.9730	1.56
λ₂forecast adj.	0.4566	1.89*
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1044	2.55**
β GARCH Volatility persistence	0.4557	3.53***
γ leverage Additional response to negative shocks	0.0388	0.59
λ₁ tau intercept Baseline long-term coefficient	4.9730	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.4566	1.89*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Catalyst Media Group PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses