S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	86
$α$	0.2239	22.07
$β$	0.2059	4.96
$γ$	0.0230	1.52
$λ_{1}$	1.5728	0.21
$λ_{2}$	0.6169	0.21
$λ_{3}$	0.1619	0.04

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Mercury NZ Limited MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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