S&P / ASX 200 Volatility Index

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	param	t-stat
$ω$	0.7563	3.93
$α$	0.0718	6.93
$β$	0.9014	57.05
$γ_{1}$	0.1701	2.95
$γ_{2}$	-0.3047	-3.63
$γ_{3}$	0.1802	3.56
$γ_{4}$	-0.0371	-0.85
$γ_{5}$	0.0008	0.02
$γ_{6}$	-0.0251	-0.98

V-Lab

Abacus Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abacus Group Analyses