FTSE 100 Implied Volatility Index 30 Days

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CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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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Param	Value	t-stat
mwindow	36
αARCH	0.0647	6.28***
βGARCH	0.8081	9.07***
γleverage	-0.0647	-6.21***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.3609	8.91***
λ₃tau persistence	0.5824	16.87***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0647	6.28***
β GARCH Volatility persistence	0.8081	9.07***
γ leverage Additional response to negative shocks	-0.0647	-6.21***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.3609	8.91***
λ₃ tau persistence Long-term factor persistence	0.5824	16.87***

V-Lab

Energys Group Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Energys Group Ltd Analyses