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FTSE 100 Implied Volatility Index 30 Days

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0798	4.44***
β GARCH Volatility persistence	0.4873	9.65***
γ leverage Additional response to negative shocks	0.0358	1.84*
λ₁ tau intercept Baseline long-term coefficient	0.3666	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.2178	0.61
λ₃ tau persistence Long-term factor persistence	0.7823	1.55

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Litigation Capital Management Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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