FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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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	0.1762	3.57***
αARCH	0.1351	4.84***
βGARCH	0.7510	15.23***

γ₁	-0.0020	0.00
γ₂	-0.9322	-1.56
γ₃	1.8828	5.27***
γ₄	-1.7603	-5.25***
γ₅	1.1232	3.47***
γ₆	-0.3816	-0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1762	3.57***
α ARCH Response to squared shocks	0.1351	4.84***
β GARCH Volatility persistence	0.7510	15.23***

γ₁	-0.0020	0.00
γ₂	-0.9322	-1.56
γ₃	1.8828	5.27***
γ₄	-1.7603	-5.25***
γ₅	1.1232	3.47***
γ₆	-0.3816	-0.89

V-Lab

Living REIT PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Living REIT PLC Analyses