FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.0000	1.47
αARCH	0.0858	2.46**
βGARCH	0.8370	23.29***
γleverage	-0.7090	-1.72*
δpower	1.2685	4.79***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.47
α ARCH Response to squared shocks	0.0858	2.46**
β GARCH Volatility persistence	0.8370	23.29***
γ leverage Additional response to negative shocks	-0.7090	-1.72*
δ power Transformation power	1.2685	4.79***

V-Lab

FTSE 100 Implied Volatility Index 30 Days APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Implied Volatility Index 30 Days Analyses