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	1.0667	9.94***
α ARCH Response to squared shocks	0.0877	34.29***
β GARCH Volatility persistence	0.9852	619.65***
ν DF Student-t tail thickness	8.9326	5.47***

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FTSE 100 Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Index Analyses