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	0.0219	21.59***
α ARCH Response to squared shocks	0.0148	8.51***
β GARCH Volatility persistence	0.8946	499.48***
γ leverage Additional response to negative shocks	0.1370	27.18***

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FTSE 100 Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Index Analyses