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Param	Value	t-stat
ωconst	1.1145	5.25***
αARCH	0.0679	8.83***
βGARCH	0.9069	95.06***

γ₁	-0.0535	-2.00**
γ₂	0.1067	2.85***
γ₃	-0.1034	-4.39***
γ₄	0.0955	4.08***
γ₅	-0.0521	-2.18**
γ₆	-0.0039	-0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1145	5.25***
α ARCH Response to squared shocks	0.0679	8.83***
β GARCH Volatility persistence	0.9069	95.06***

γ₁	-0.0535	-2.00**
γ₂	0.1067	2.85***
γ₃	-0.1034	-4.39***
γ₄	0.0955	4.08***
γ₅	-0.0521	-2.18**
γ₆	-0.0039	-0.20

V-Lab

S&P Asia 50 CME Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Asia 50 CME Analyses