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Param	Value	t-stat
ωconst	1.1212	5.26***
αARCH	0.0674	8.77***
βGARCH	0.9077	94.71***

γ₁	-0.0537	-1.98**
γ₂	0.1076	2.84***
γ₃	-0.1047	-4.37***
γ₄	0.0961	4.04***
γ₅	-0.0517	-2.12**
γ₆	-0.0045	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1212	5.26***
α ARCH Response to squared shocks	0.0674	8.77***
β GARCH Volatility persistence	0.9077	94.71***

γ₁	-0.0537	-1.98**
γ₂	0.1076	2.84***
γ₃	-0.1047	-4.37***
γ₄	0.0961	4.04***
γ₅	-0.0517	-2.12**
γ₆	-0.0045	-0.22

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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