S&P / ASX 200 Volatility Index

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	param	t-stat
$ω$	0.6373	6.62
$α$	0.2381	8.08
$β$	0.2055	2.22
$γ_{1}$	0.2120	1.14
$γ_{2}$	-0.5216	-1.96
$γ_{3}$	0.6625	4.28
$γ_{4}$	-0.6649	-5.31
$γ_{5}$	0.4354	3.56
$γ_{6}$	-0.2040	-1.86
$γ_{7}$	0.1371	1.93

V-Lab

Mercury NZ Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercury NZ Limited Analyses