FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5,399.8220	3.88***
α ARCH Response to squared shocks	0.1359	122.35***
β GARCH Volatility persistence	0.9894	354.76***
ν DF Student-t tail thickness	2.0037

V-Lab

T42 LoT Tracking Solutions PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T42 LoT Tracking Solutions PLC Analyses