FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	0.6795	5.02
$α$	0.2901	6.99
$β$	0.2874	4.06
$γ_{1}$	-0.3856	-3.29
$γ_{2}$	0.4458	2.75
$γ_{3}$	0.0518	0.61
$γ_{4}$	-0.2217	-2.80
$γ_{5}$	0.1942	2.00
$γ_{6}$	-0.1278	-1.39

V-Lab

McKay Securities PLC Zero Slope Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other McKay Securities PLC Analyses