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	1.6484	8.14***
α ARCH Response to squared shocks	0.1187	6.98***
β GARCH Volatility persistence	0.7114	18.84***

γ₁	-0.3242	-4.79***
γ₂	0.4967	4.42***
γ₃	-0.2490	-2.94***
γ₄	0.1894	2.99***
γ₅	-0.2228	-4.15***
γ₆	0.1998	3.78***
γ₇	-0.1031	-1.89*
γ₈	-0.0159	-0.27
γ₉	0.0418	0.85

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REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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