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	0.5733	3.01***
α ARCH Response to squared shocks	0.1116	3.70***
β GARCH Volatility persistence	0.6888	8.66***

γ₁	-0.6030	-2.38**
γ₂	0.7655	2.28**
γ₃	-0.2479	-1.26
γ₄	0.2199	1.08
γ₅	-0.2553	-1.44
γ₆	0.1605	1.04
γ₇	0.0260	0.17
γ₈	-0.1482	-0.89
γ₉	0.1085	0.94

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