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	41
α ARCH Response to squared shocks	0.0706	8.91***
β GARCH Volatility persistence	0.6924	31.61***
γ leverage Additional response to negative shocks	0.1270	7.28***
λ₁ tau intercept Baseline long-term coefficient	0.2013	1.13
λ₂ forecast adj. Forecast performance sensitivity	0.0145	1.26
λ₃ tau persistence Long-term factor persistence	0.9703	40.43***

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SRT Marine Systems PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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