S&P / ASX 200 Volatility Index

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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	5.0000	2.90***
αARCH	0.0800	1.88*
βGARCH	0.8103	19.14***
γleverage	0.0319	0.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.90***
α ARCH Response to squared shocks	0.0800	1.88*
β GARCH Volatility persistence	0.8103	19.14***
γ leverage Additional response to negative shocks	0.0319	0.46

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Nodestream Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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