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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	5.0371	6.41***
α ARCH Response to squared shocks	0.0843	11.27***
β GARCH Volatility persistence	0.9248	72.52***
ν DF Student-t tail thickness	3.8371	4.83***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other FDM Group (Holdings) plc Analyses