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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1073	10.02***
β GARCH Volatility persistence	0.7398	41.07***
γ leverage Additional response to negative shocks	0.0141	0.87
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.0049	1.60
λ₃ tau persistence Long-term factor persistence	0.9951	173.00***

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