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CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

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	21
α ARCH Response to squared shocks	0.0493
β GARCH Volatility persistence	0.2467
γ leverage Additional response to negative shocks	-0.0058
λ₁ tau intercept Baseline long-term coefficient	0.0876
λ₂ forecast adj. Forecast performance sensitivity	0.0019
λ₃ tau persistence Long-term factor persistence	0.8279

V-Lab

City of London Investment Group PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other City of London Investment Group PLC Analyses