S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3848	2.30**
α ARCH Response to squared shocks	0.0224	3.26***
β GARCH Volatility persistence	0.9782	149.87***
ν DF Student-t tail thickness	3.3108	2.20**

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Ventia Services Group Pty Ltd GAS-GARCH Student T Volatility Analysis

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