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	1.1359	2.98***
α ARCH Response to squared shocks	0.2936	5.25***
β GARCH Volatility persistence	0.1493	2.05**

γ₁	1.3149	2.59***
γ₂	-1.6625	-2.20**
γ₃	0.1347	0.24
γ₄	-0.1339	-0.30
γ₅	1.6483	3.61***
γ₆	-2.6810	-5.40***
γ₇	1.9571	3.57***
γ₈	-0.7726	-1.53
γ₉	0.6465	1.30
γ₁₀	-0.7444	-1.69*

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