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	0.0419	13.34***
α ARCH Response to squared shocks	0.0379	14.19***
β GARCH Volatility persistence	0.9463	603.09***
γ leverage Additional response to negative shocks	0.0200	3.73***

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REA Group Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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