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	5.0000	13.86***
α ARCH Response to squared shocks	0.1724	14.79***
β GARCH Volatility persistence	0.7908	107.45***
γ leverage Additional response to negative shocks	-0.1505	-9.86***

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FTSE 100 Implied Volatility Index 30 Days GJR-GARCH Volatility Analysis

Date Range:

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