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	0.0006	0.35
α ARCH Response to squared shocks	0.0828	47.73***
β GARCH Volatility persistence	0.8904	459.67***
γ leverage Additional response to negative shocks	0.5635	27.33***

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FTSE 100 Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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