FTSE 100 Implied Volatility Index 30 Days

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EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5888	12.88***
α ARCH Response to squared shocks	0.0738	9.11***
β GARCH Volatility persistence	0.7533	54.41***
γ leverage Additional response to negative shocks	0.1154	5.05***

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SRT Marine Systems PLC GJR-GARCH Volatility Analysis

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