FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4067	12.40***
α ARCH Response to squared shocks	0.0584	11.06***
β GARCH Volatility persistence	0.8817	129.13***
γ leverage Additional response to negative shocks	0.0486	3.12***

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T42 LoT Tracking Solutions PLC GJR-GARCH Volatility Analysis

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