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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3011	12.47***
α ARCH Response to squared shocks	0.0586	11.16***
β GARCH Volatility persistence	0.8852	137.09***
γ leverage Additional response to negative shocks	0.0471	3.08***

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T42 LoT Tracking Solutions PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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