FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	0.0393	5.24***
αARCH	0.1117	11.94***
βGARCH	0.8883	93.59***
γleverage	0.1415	3.33***
δpower	1.0509	6.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0393	5.24***
α ARCH Response to squared shocks	0.1117	11.94***
β GARCH Volatility persistence	0.8883	93.59***
γ leverage Additional response to negative shocks	0.1415	3.33***
δ power Transformation power	1.0509	6.02***

V-Lab

Town Centre Securities PLC Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Town Centre Securities PLC Analyses