FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	2.2662	3.13***
αARCH	0.1458	3.06***
βGARCH	0.5328	4.39***

γ₁	0.7894	0.31
γ₂	-0.8294	-0.21
γ₃	-0.8702	-0.31
γ₄	3.5257	1.16
γ₅	-4.5859	-1.41
γ₆	2.3308	0.73
γ₇	0.5959	0.22
γ₈	-3.8832	-1.80*
γ₉	7.5999	4.28***
γ₁₀	-7.1575	-6.22***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2662	3.13***
α ARCH Response to squared shocks	0.1458	3.06***
β GARCH Volatility persistence	0.5328	4.39***

γ₁	0.7894	0.31
γ₂	-0.8294	-0.21
γ₃	-0.8702	-0.31
γ₄	3.5257	1.16
γ₅	-4.5859	-1.41
γ₆	2.3308	0.73
γ₇	0.5959	0.22
γ₈	-3.8832	-1.80*
γ₉	7.5999	4.28***
γ₁₀	-7.1575	-6.22***

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