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	2.2655	3.12***
α ARCH Response to squared shocks	0.1462	3.06***
β GARCH Volatility persistence	0.5334	4.40***

γ₁	0.7875	0.31
γ₂	-0.8289	-0.21
γ₃	-0.8658	-0.31
γ₄	3.5201	1.16
γ₅	-4.5805	-1.41
γ₆	2.3200	0.72
γ₇	0.6214	0.23
γ₈	-3.9394	-1.82*
γ₉	7.7087	4.33***
γ₁₀	-7.2952	-6.26***

V-Lab

Catalyst Media Group PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses