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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0815	8.73***
β GARCH Volatility persistence	0.3060	4.24***
γ leverage Additional response to negative shocks	0.1914	7.60***
λ₁ tau intercept Baseline long-term coefficient	8.4873	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.2303	0.31
λ₃ tau persistence Long-term factor persistence	0.5315	0.34

V-Lab

T42 LoT Tracking Solutions PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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