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
mwindow	31
αARCH	0.1406	5.64***
βGARCH	0.6587	14.77***
γleverage	0.0045	0.12
λ₁tau intercept	0.0070	1.31
λ₂forecast adj.	0.0159	3.44***
λ₃tau persistence	0.9826	193.61***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1406	5.64***
β GARCH Volatility persistence	0.6587	14.77***
γ leverage Additional response to negative shocks	0.0045	0.12
λ₁ tau intercept Baseline long-term coefficient	0.0070	1.31
λ₂ forecast adj. Forecast performance sensitivity	0.0159	3.44***
λ₃ tau persistence Long-term factor persistence	0.9826	193.61***

V-Lab

Town Centre Securities PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Town Centre Securities PLC Analyses