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EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

How volatility evolves over time

How illiquidity evolves over time

{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	0.9753	7.00***
αARCH	0.1942	5.65***
βGARCH	0.5481	7.67***

γ₁	-0.0804	-0.43
γ₂	0.3431	1.19
γ₃	-0.5649	-2.92***
γ₄	0.3733	1.95*
γ₅	-0.0154	-0.08
γ₆	-0.0002	0.00
γ₇	-0.2730	-1.08
γ₈	0.5166	2.27**
γ₉	-0.4497	-3.20***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9753	7.00***
α ARCH Response to squared shocks	0.1942	5.65***
β GARCH Volatility persistence	0.5481	7.67***

γ₁	-0.0804	-0.43
γ₂	0.3431	1.19
γ₃	-0.5649	-2.92***
γ₄	0.3733	1.95*
γ₅	-0.0154	-0.08
γ₆	-0.0002	0.00
γ₇	-0.2730	-1.08
γ₈	0.5166	2.27**
γ₉	-0.4497	-3.20***

V-Lab

Tate & Lyle Plc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses