S&P / ASX 200 Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	5.0000	2.89***
αARCH	0.0789	1.88*
βGARCH	0.8107	19.18***
γleverage	0.0342	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.89***
α ARCH Response to squared shocks	0.0789	1.88*
β GARCH Volatility persistence	0.8107	19.18***
γ leverage Additional response to negative shocks	0.0342	0.49

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Nodestream Ltd GJR-GARCH Volatility Analysis

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