FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.1052	2.57**
αARCH	0.0664	14.33***
βGARCH	0.9990	440.28***
νDF	4.2437	10.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1052	2.57**
α ARCH Response to squared shocks	0.0664	14.33***
β GARCH Volatility persistence	0.9990	440.28***
ν DF Student-t tail thickness	4.2437	10.70***

V-Lab

Living REIT PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Living REIT PLC Analyses