FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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
ωconst	5.0030	1.69*
αARCH	0.0883	2.75***
βGARCH	0.9156	16.92***
νDF	3.8320	1.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0030	1.69*
α ARCH Response to squared shocks	0.0883	2.75***
β GARCH Volatility persistence	0.9156	16.92***
ν DF Student-t tail thickness	3.8320	1.20

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