S&P / ASX 200 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	2.83***
αARCH	0.0840	1.99**
βGARCH	0.8067	19.35***
γleverage	0.0418	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.83***
α ARCH Response to squared shocks	0.0840	1.99**
β GARCH Volatility persistence	0.8067	19.35***
γ leverage Additional response to negative shocks	0.0418	0.58

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Nodestream Ltd GJR-GARCH Volatility Analysis

Date Range:

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