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	0.7944	14.30***
αARCH	0.1527	6.13***
βGARCH	0.6665	15.02***

γ₁	0.0014	0.70
γ₂	-0.0092	-2.29**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7944	14.30***
α ARCH Response to squared shocks	0.1527	6.13***
β GARCH Volatility persistence	0.6665	15.02***

γ₁	0.0014	0.70
γ₂	-0.0092	-2.29**

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