FTSE 100 Implied Volatility Index 30 Days

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EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 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
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8734	17.17***
γ leverage Additional response to negative shocks	0.0718	3.24***
λ₁ tau intercept Baseline long-term coefficient	0.1088	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.2286	0.16
λ₃ tau persistence Long-term factor persistence	0.7222	0.43

V-Lab

Jpmorgan Actv DVP MRS EQ ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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