FTSE 100 Implied Volatility Index 30 Days

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CBOE Volatility Index

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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	1.7362	2.86***
α ARCH Response to squared shocks	0.0752	6.37***
β GARCH Volatility persistence	0.9686	123.04***
ν DF Student-t tail thickness	4.4540	2.68***

V-Lab

Jpmorgan Actv DVP MRS EQ ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Actv DVP MRS EQ ETF Analyses