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	1.7868	7.84***
αARCH	0.1437	7.57***
βGARCH	0.6949	18.53***

γ₁	0.2031	5.12***
γ₂	-0.2742	-4.63***
γ₃	0.1614	4.10***
γ₄	-0.1795	-5.16***
γ₅	0.0945	2.77***
γ₆	0.0528	1.46
γ₇	-0.1125	-2.75***
γ₈	0.1008	1.87*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7868	7.84***
α ARCH Response to squared shocks	0.1437	7.57***
β GARCH Volatility persistence	0.6949	18.53***

γ₁	0.2031	5.12***
γ₂	-0.2742	-4.63***
γ₃	0.1614	4.10***
γ₄	-0.1795	-5.16***
γ₅	0.0945	2.77***
γ₆	0.0528	1.46
γ₇	-0.1125	-2.75***
γ₈	0.1008	1.87*

V-Lab

Town Centre Securities PLC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Town Centre Securities PLC Analyses