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	1.0941	5.60***
α ARCH Response to squared shocks	0.1086	1.38
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.7798	0.47
γ₂	-2.5136	-1.02
γ₃	5.2351	2.77***
γ₄	-7.4689	-3.15***
γ₅	6.6801	2.88***
γ₆	-3.5789	-2.40**

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Ventia Services Group Pty Ltd Zero Slope Spline-GARCH Volatility Analysis

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