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	-0.0001	-0.06
α ARCH Response to squared shocks	0.1390	44.96***
β GARCH Volatility persistence	0.9788	920.75***
γ leverage Additional response to negative shocks	-0.1041	-37.51***

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FTSE 100 Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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