S&P / ASX 200 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	2.6580	3.64***
αARCH	0.0000	0.00
βGARCH	0.1546	0.82
γleverage	0.3813	0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6580	3.64***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.1546	0.82
γ leverage Additional response to negative shocks	0.3813	0.66

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Ventia Services Group Pty Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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