FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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
ω const Unconditional variance weight	0.6381	4.96***
α ARCH Response to squared shocks	0.0943	1.34
β GARCH Volatility persistence	0.7060	4.52***

γ₁	-1.1721	-0.37
γ₂	-0.4363	-0.08
γ₃	5.7388	1.51
γ₄	-6.9010	-2.89***

V-Lab

Jpmorgan Actv DVP MRS EQ ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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