S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	126
$α$	0.0754	23.88
$β$	0.8927	166.23
$γ$	-0.0001	-0.02
$λ_{1}$	0.0203	9.33
$λ_{2}$	0.0386	8.41
$λ_{3}$	0.9548	181.10

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Abacus Group MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abacus Group Analyses