S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0430	13.54***
α ARCH Response to squared shocks	0.0390	14.22***
β GARCH Volatility persistence	0.9451	592.88***
γ leverage Additional response to negative shocks	0.0198	3.62***

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REA Group Ltd GJR-GARCH Volatility Analysis

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