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
ω const Unconditional variance weight	0.7457	3.59***
α ARCH Response to squared shocks	0.2283	3.37***
β GARCH Volatility persistence	0.5280	4.81***

γ₁	10.1296	3.93***
γ₂	-11.7725	-2.83***
γ₃	1.5327	0.34
γ₄	0.8225	0.14
γ₅	-6.0197	-1.01
γ₆	11.3217	2.51**
γ₇	-7.8102	-2.43**
γ₈	1.2660	0.57

V-Lab

Quantum Data Energy PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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