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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1890	15.12***
β GARCH Volatility persistence	0.6093	43.25***
γ leverage Additional response to negative shocks	0.0550	2.42**
λ₁ tau intercept Baseline long-term coefficient	0.0251	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.0071	4.06***
λ₃ tau persistence Long-term factor persistence	0.9920	534.47***

V-Lab

Powerhouse Energy Group PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Powerhouse Energy Group PLC Analyses