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CBOE EFA ETF Volatility Index

FTSE 100 Implied Volatility Index 30 Days

EURO STOXX 50 Volatility 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
ω const Unconditional variance weight	1.0789	4.35***
α ARCH Response to squared shocks	0.1153	2.81***
β GARCH Volatility persistence	0.4642	2.73***

γ₁	1.0574	0.73
γ₂	-2.4653	-1.11
γ₃	4.1352	2.17**
γ₄	-6.5719	-3.37***
γ₅	7.5472	5.00***
γ₆	-6.2251	-3.66***
γ₇	3.3267	2.37**
γ₈	1.3734	0.83
γ₉	-3.9452	-1.93*
γ₁₀	1.5749	1.00

V-Lab

Litigation Capital Management Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Litigation Capital Management Ltd Analyses