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	5.0000	16.09***
α ARCH Response to squared shocks	0.2001	14.86***
β GARCH Volatility persistence	0.7435	84.75***
γ leverage Additional response to negative shocks	-0.0729	-3.18***

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Nodestream Ltd Asy. MEM Volatility Analysis

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