S&P / ASX 200 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.0762	4.45***
αARCH	0.0000	0.00
βGARCH	0.7953	1.16

γ₁	0.7321	0.41
γ₂	-2.2157	-0.86
γ₃	4.7806	2.34**
γ₄	-7.3663	-2.72***
γ₅	7.0387	2.75***
γ₆	-3.9716	-2.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0762	4.45***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7953	1.16

γ₁	0.7321	0.41
γ₂	-2.2157	-0.86
γ₃	4.7806	2.34**
γ₄	-7.3663	-2.72***
γ₅	7.0387	2.75***
γ₆	-3.9716	-2.69***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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