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	1.1356	2.98***
α ARCH Response to squared shocks	0.2918	5.25***
β GARCH Volatility persistence	0.1479	2.02**

γ₁	1.3390	2.62***
γ₂	-1.7045	-2.24**
γ₃	0.1841	0.32
γ₄	-0.2205	-0.49
γ₅	1.7567	3.74***
γ₆	-2.7550	-5.33***
γ₇	1.9770	3.51***
γ₈	-0.7811	-1.51
γ₉	0.6831	1.33
γ₁₀	-0.7892	-1.70*

V-Lab

Galileo Resources PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Galileo Resources PLC Analyses