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	0.8898	14.63***
α ARCH Response to squared shocks	0.1474	6.21***
β GARCH Volatility persistence	0.6713	15.21***

γ₁	0.0121	2.92***
γ₂	-0.0225	-3.59***
γ₃	0.0140	4.25***

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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