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
mwindow	91
αARCH	0.1079	4.10***
βGARCH	0.7392	11.29***
γleverage	0.0138	0.25
λ₁tau intercept	0.0024	0.10
λ₂forecast adj.	0.0048	1.46
λ₃tau persistence	0.9952	143.48***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1079	4.10***
β GARCH Volatility persistence	0.7392	11.29***
γ leverage Additional response to negative shocks	0.0138	0.25
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.0048	1.46
λ₃ tau persistence Long-term factor persistence	0.9952	143.48***

V-Lab

FDM Group (Holdings) plc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FDM Group (Holdings) plc Analyses