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	0.0583	1.96*
α ARCH Response to squared shocks	0.0082	2.92***
β GARCH Volatility persistence	0.9710	399.74***
γ leverage Additional response to negative shocks	0.0416	12.53***

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Spenda Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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