FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.5145	2.89
$α$	0.1672	3.33
$β$	0.5625	5.30
$γ_{1}$	-1.0386	-1.40
$γ_{2}$	1.3354	1.29
$γ_{3}$	-0.7681	-1.18
$γ_{4}$	1.0505	1.59
$γ_{5}$	-1.1110	-1.54
$γ_{6}$	0.9113	1.14
$γ_{7}$	-0.5388	-0.69
$γ_{8}$	0.8542	1.15
$γ_{9}$	-1.3060	-2.31

V-Lab

PCF Group PLC Zero Slope Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other PCF Group PLC Analyses