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
m window Rolling window length	56
α ARCH Response to squared shocks	0.1039	6.44***
β GARCH Volatility persistence	0.4559	12.52***
γ leverage Additional response to negative shocks	0.0391	1.62
λ₁ tau intercept Baseline long-term coefficient	4.9673	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.4589	0.86
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