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	126
α ARCH Response to squared shocks	0.0460	7.95***
β GARCH Volatility persistence	0.9063	233.71***
γ leverage Additional response to negative shocks	0.0324	4.53***
λ₁ tau intercept Baseline long-term coefficient	3.9096	0.31
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.31
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Spenda Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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