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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0807	8.66***
β GARCH Volatility persistence	0.3048	4.19***
γ leverage Additional response to negative shocks	0.1932	7.62***
λ₁ tau intercept Baseline long-term coefficient	8.8456	0.29
λ₂ forecast adj. Forecast performance sensitivity	0.2258	0.30
λ₃ tau persistence Long-term factor persistence	0.5278	0.32

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T42 LoT Tracking Solutions PLC MF2-GARCH Volatility Analysis

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