S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9896	10.78***
α ARCH Response to squared shocks	0.0966	9.40***
β GARCH Volatility persistence	0.8813	83.45***

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S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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