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
mwindow	21
αARCH	0.0742	3.06***
βGARCH	0.7902	15.61***
γleverage	0.0683	1.79*
λ₁tau intercept	0.0210	2.15**
λ₂forecast adj.	0.0325	2.14**
λ₃tau persistence	0.9595	51.87***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0742	3.06***
β GARCH Volatility persistence	0.7902	15.61***
γ leverage Additional response to negative shocks	0.0683	1.79*
λ₁ tau intercept Baseline long-term coefficient	0.0210	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0325	2.14**
λ₃ tau persistence Long-term factor persistence	0.9595	51.87***

V-Lab

Living REIT PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Living REIT PLC Analyses