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	0.5958	2.99***
αARCH	0.0732	1.83*
βGARCH	0.7923	14.94***
γleverage	0.0395	0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5958	2.99***
α ARCH Response to squared shocks	0.0732	1.83*
β GARCH Volatility persistence	0.7923	14.94***
γ leverage Additional response to negative shocks	0.0395	0.32

V-Lab

FDM Group (Holdings) plc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FDM Group (Holdings) plc Analyses