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
ω const Unconditional variance weight	0.7196	5.94***
α ARCH Response to squared shocks	0.1248	3.84***
β GARCH Volatility persistence	0.6988	10.09***

γ₁	-0.0543	-1.46
γ₂	0.1049	1.99**
γ₃	-0.0827	-3.01***

V-Lab

FDM Group (Holdings) plc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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