Swiss Market Index EGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
11.00%
decreased by 0.40%
1 Week
11.37%
decreased by 0.03%
1 Month
12.61%
increased by 1.21%
Analysis last updated: Friday, July 17, 2026 at 05:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0020 | 0.82 |
α ARCH Response to squared shocks | 0.1853 | 42.27*** |
β GARCH Volatility persistence | 0.9559 | 459.11*** |
γ leverage Additional response to negative shocks | -0.1250 | -24.71*** |
Persistence:
0.956
Half-life:
15 days
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