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	0.0421	13.31***
α ARCH Response to squared shocks	0.0377	14.13***
β GARCH Volatility persistence	0.9461	601.09***
γ leverage Additional response to negative shocks	0.0204	3.79***

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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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