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	0.7211	5.96***
αARCH	0.1250	3.85***
βGARCH	0.6988	10.09***

γ₁	-0.0533	-1.45
γ₂	0.1031	1.97**
γ₃	-0.0814	-3.01***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7211	5.96***
α ARCH Response to squared shocks	0.1250	3.85***
β GARCH Volatility persistence	0.6988	10.09***

γ₁	-0.0533	-1.45
γ₂	0.1031	1.97**
γ₃	-0.0814	-3.01***

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