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	47.5967	14.35***
α ARCH Response to squared shocks	0.1013	24.55***
β GARCH Volatility persistence	0.9332	182.41***
ν DF Student-t tail thickness	5.4304	6.32***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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