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	1.0073	13.62***
α ARCH Response to squared shocks	0.1125	13.99***
β GARCH Volatility persistence	0.8550	110.97***
γ leverage Additional response to negative shocks	-0.0132	-1.42

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