FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	0.2704	1.99
$α$	0.1255	2.48
$β$	0.0000	0.00
$γ_{1}$	-4.5857	-0.63
$γ_{2}$	12.0272	1.25
$γ_{3}$	-16.6768	-3.44
$γ_{4}$	15.4958	2.29
$γ_{5}$	-10.2001	-1.72
$γ_{6}$	5.6119	1.12
$γ_{7}$	-4.5911	-0.93
$γ_{8}$	6.9673	1.62
$γ_{9}$	-5.7713	-1.13
$γ_{10}$	7.5918	1.07

V-Lab

ESR 2022 PLC Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other ESR 2022 PLC Analyses