S&P / ASX 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.1280	6.80***
β GARCH Volatility persistence	0.1195	5.52***
γ leverage Additional response to negative shocks	0.0842	4.88***
λ₁ tau intercept Baseline long-term coefficient	0.8525	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.4049	1.12
λ₃ tau persistence Long-term factor persistence	0.5254	1.01

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