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	0.6476	3.96***
α ARCH Response to squared shocks	0.1102	3.71***
β GARCH Volatility persistence	0.6932	8.61***

γ₁	-0.3075	-2.03**
γ₂	0.3674	1.64
γ₃	-0.0227	-0.19
γ₄	-0.0868	-0.86
γ₅	0.0888	0.84
γ₆	-0.0390	-0.44
γ₇	-0.0127	-0.23

V-Lab

SRT Marine Systems PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SRT Marine Systems PLC Analyses