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	0.6763	10.00***
α ARCH Response to squared shocks	0.1670	13.01***
β GARCH Volatility persistence	0.8330	111.64***
γ leverage Additional response to negative shocks	-0.0029	-0.15

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Iris Metals Ltd Asy. MEM Volatility Analysis

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