FTSE 100 Implied Volatility Index 30 Days

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0708	8.87***
β GARCH Volatility persistence	0.6920	31.50***
γ leverage Additional response to negative shocks	0.1276	7.27***
λ₁ tau intercept Baseline long-term coefficient	0.2057	1.12
λ₂ forecast adj. Forecast performance sensitivity	0.0142	1.24
λ₃ tau persistence Long-term factor persistence	0.9703	39.87***

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