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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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3726	3.00***
α ARCH Response to squared shocks	0.1579	2.99***
β GARCH Volatility persistence	0.5738	5.24***

γ₁	0.8916	0.33
γ₂	-0.9432	-0.22
γ₃	-0.8563	-0.29
γ₄	3.4912	1.10
γ₅	-4.5073	-1.32
γ₆	2.1305	0.64
γ₇	1.2304	0.43
γ₈	-5.6342	-2.49**
γ₉	11.4450	5.33***
γ₁₀	-15.6087	-4.39***

V-Lab

Catalyst Media Group PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Catalyst Media Group PLC Analyses