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EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.6427	4.36***
αARCH	0.1775	2.62***
βGARCH	0.6579	10.83***
γleverage	0.0272	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6427	4.36***
α ARCH Response to squared shocks	0.1775	2.62***
β GARCH Volatility persistence	0.6579	10.83***
γ leverage Additional response to negative shocks	0.0272	0.29

V-Lab

Tate & Lyle Plc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses