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	0.7655	7.63***
α ARCH Response to squared shocks	0.1554	5.92***
β GARCH Volatility persistence	0.6263	12.64***

γ₁	-0.0331	-0.54
γ₂	0.0271	0.29
γ₃	0.0687	1.00
γ₄	-0.1475	-2.32**
γ₅	0.1675	2.76***
γ₆	-0.1839	-3.03***
γ₇	0.2025	3.45***
γ₈	-0.2542	-3.69***
γ₉	0.4447	4.77***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Implied Volatility Index 30 Days Analyses