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	21
α ARCH Response to squared shocks	0.5120	21.53***
β GARCH Volatility persistence	0.1073	7.17***
γ leverage Additional response to negative shocks	-0.2501	-5.31***
λ₁ tau intercept Baseline long-term coefficient	1.4277	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.0755	1.04
λ₃ tau persistence Long-term factor persistence	0.8719	6.96***

V-Lab

Galileo Resources PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Galileo Resources PLC Analyses