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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6274	20.93***
α ARCH Response to squared shocks	0.0900	4.52***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	1.0000	5.79***

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Princes Group PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Princes Group PLC Analyses