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	1.2443	9.07***
α ARCH Response to squared shocks	0.0580	11.10***
β GARCH Volatility persistence	0.9189	246.81***
γ leverage Additional response to negative shocks	0.0066	0.65

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Helix Resources Limited GJR-GARCH Volatility Analysis

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