FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.9953	6.75***
α ARCH Response to squared shocks	0.0877	11.11***
β GARCH Volatility persistence	0.9175	69.01***
ν DF Student-t tail thickness	3.8473	4.80***

V-Lab

FDM Group (Holdings) plc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FDM Group (Holdings) plc Analyses