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	0.9264	2.80***
α ARCH Response to squared shocks	0.2753	4.90***
β GARCH Volatility persistence	0.1552	1.99**

γ₁	0.5597	1.47
γ₂	-0.7218	-1.46
γ₃	-0.3561	-1.20
γ₄	1.5139	5.37***
γ₅	-1.9469	-7.23***
γ₆	1.4023	4.72***
γ₇	-0.5765	-1.85*
γ₈	0.7390	1.17

V-Lab

Galileo Resources PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Galileo Resources PLC Analyses