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	0.9715	4.83***
α ARCH Response to squared shocks	0.0547	13.08***
β GARCH Volatility persistence	0.9303	193.77***
γ leverage Additional response to negative shocks	0.0226	0.98
δ power Transformation power	2.4391	28.64***

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Nodestream Ltd Asy. Power MEM Volatility Analysis

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