FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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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	0.6846	8.03***
α ARCH Response to squared shocks	0.0621	11.41***
β GARCH Volatility persistence	0.9067	159.35***
γ leverage Additional response to negative shocks	0.0625	6.76***

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Powerhouse Energy Group PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Powerhouse Energy Group PLC Analyses