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
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8336	229.95***
γ leverage Additional response to negative shocks	0.1872	49.82***
λ₁ tau intercept Baseline long-term coefficient	0.0052	6.22***
λ₂ forecast adj. Forecast performance sensitivity	0.0361	6.60***
λ₃ tau persistence Long-term factor persistence	0.9582	153.31***

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FTSE 100 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE 100 Index Analyses