FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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
αARCH	0.0000	0.00
βGARCH	0.9163	31.31***
γleverage	0.1400	5.24***
λ₁tau intercept	14.4762	1.97**

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9163	31.31***
γ leverage Additional response to negative shocks	0.1400	5.24***
λ₁ tau intercept Baseline long-term coefficient	14.4762	1.97**

V-Lab

Marex Group Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Marex Group Ltd Analyses