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	1.1407	3.00***
α ARCH Response to squared shocks	0.2920	5.27***
β GARCH Volatility persistence	0.1441	1.98**

γ₁	1.3694	2.68***
γ₂	-1.7520	-2.29**
γ₃	0.2302	0.40
γ₄	-0.3009	-0.66
γ₅	1.8576	3.85***
γ₆	-2.8216	-5.27***
γ₇	1.9923	3.46***
γ₈	-0.7914	-1.51
γ₉	0.7319	1.38
γ₁₀	-0.8491	-1.74*

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