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	47.3448	3.64***
αARCH	0.1030	6.16***
βGARCH	0.9314	44.96***
νDF	5.4094	1.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	47.3448	3.64***
α ARCH Response to squared shocks	0.1030	6.16***
β GARCH Volatility persistence	0.9314	44.96***
ν DF Student-t tail thickness	5.4094	1.60

V-Lab

FTSE 100 Implied Volatility Index 30 Days GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Implied Volatility Index 30 Days Analyses