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	21
α ARCH Response to squared shocks	0.0039	0.01
β GARCH Volatility persistence	0.9763	90.83***
γ leverage Additional response to negative shocks	0.0396	0.01
λ₁ tau intercept Baseline long-term coefficient	0.0047	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.2424	0.01
λ₃ tau persistence Long-term factor persistence	0.0000	0.48

V-Lab

Spenda Ltd MF2-GARCH Volatility Analysis

Date Range:

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