FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9983	7.66***
α ARCH Response to squared shocks	0.0760	7.34***
β GARCH Volatility persistence	0.8610	44.95***

γ₁	-0.0268	-0.79
γ₂	0.1673	3.15***
γ₃	-0.2597	-5.57***
γ₄	0.1634	3.01***
γ₅	-0.0093	-0.16
γ₆	-0.1247	-2.46**
γ₇	0.2126	3.81***
γ₈	-0.2241	-3.28***
γ₉	0.1371	1.99**
γ₁₀	-0.0368	-0.83

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Next PLC Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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