S&P / ASX 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.8938	9.49***
α ARCH Response to squared shocks	0.0843	14.72***
β GARCH Volatility persistence	0.9621	230.23***
ν DF Student-t tail thickness	6.3221	4.09***

V-Lab

Mercury NZ Limited GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercury NZ Limited Analyses