S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2410	23.49***
β GARCH Volatility persistence	0.4917	19.00***
γ leverage Additional response to negative shocks	-0.1011	-6.80***
λ₁ tau intercept Baseline long-term coefficient	3.2050	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.2203	1.29
λ₃ tau persistence Long-term factor persistence	0.7336	3.37***

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Helix Resources Limited MF2-GARCH Volatility Analysis

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