S&P / ASX 200 Volatility Index

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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.6726	1.19
αARCH	0.0286	2.62***
βGARCH	0.9607	90.76***
γleverage	0.0428	0.50
δpower	2.6886	7.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6726	1.19
α ARCH Response to squared shocks	0.0286	2.62***
β GARCH Volatility persistence	0.9607	90.76***
γ leverage Additional response to negative shocks	0.0428	0.50
δ power Transformation power	2.6886	7.47***

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Spenda Ltd Asy. Power MEM Volatility Analysis

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