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	5.0000	13.70***
α ARCH Response to squared shocks	0.2748	8.98***
β GARCH Volatility persistence	0.5663	25.07***
γ leverage Additional response to negative shocks	-0.1058	-2.28**

V-Lab

Galileo Resources PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Galileo Resources PLC Analyses