V-Lab: SIX Volatility Index GAS-GARCH Student T Volatility Analysis

V-Lab

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V-Lab

SIX Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, September 6th, 2019:48.84% (-0.01%)

Analysis last updated: Monday, March 1, 2021 at 08:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	58.9498	7.29
$α$	0.0809	22.36
$β$	0.9768	280.85
$ν$	6	5.70

Estimation Period:
May 7, 2004 to Aug 2, 2019