V-Lab: SMI Volatility Index AGARCH Volatility Analysis

V-Lab

SMI Volatility Index AGARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:57.83% (-0.79%)

Analysis last updated: Saturday, July 5, 2025 at 02:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9418	19.72
$α$	0.1171	40.73
$β$	0.7814	190.91
$γ$	-3.1498	-30.54

Estimation Period:
Jan 4, 1999 to May 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts