FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	0.7306	7.05
$α$	0.1885	4.58
$β$	0.6529	12.38
$γ_{1}$	-0.0723	-4.37
$γ_{2}$	0.1082	4.29
$γ_{3}$	-0.0477	-3.16

V-Lab

TClarke PLC Zero Slope Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other TClarke PLC Analyses