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

CBOE DJIA Volatility Index

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CBOE S&P 500 6-Month Volatility Index

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CBOE Skew 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
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8832	43.46***
γ leverage Additional response to negative shocks	0.0608	8.56***
λ₁ tau intercept Baseline long-term coefficient	0.0046	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.6260	0.11
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Jpmorgan Limited Dura BO ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jpmorgan Limited Dura BO ETF Analyses