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	0.8913	14.64***
αARCH	0.1505	6.30***
βGARCH	0.6660	15.14***

γ₁	0.0118	2.92***
γ₂	-0.0223	-3.65***
γ₃	0.0144	4.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8913	14.64***
α ARCH Response to squared shocks	0.1505	6.30***
β GARCH Volatility persistence	0.6660	15.14***

γ₁	0.0118	2.92***
γ₂	-0.0223	-3.65***
γ₃	0.0144	4.48***

V-Lab

FTSE 100 Implied Volatility Index 30 Days Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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