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	0.1256
α ARCH Response to squared shocks	0.7085
β GARCH Volatility persistence	0.2915

γ₁	37.8928
γ₂	-212.2082
γ₃	466.5922
γ₄	-522.7751
γ₅	348.3440
γ₆	-166.9778
γ₇	58.0491
γ₈	-13.6009
γ₉	5.9951

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Iris Metals Ltd Spline-GARCH Volatility Analysis

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