SMI Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
100.78%
increased by 24.85%
1 Week
99.04%
increased by 23.11%
1 Month
94.33%
increased by 18.40%
Analysis last updated: Friday, October 2, 2026 at 09:42 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
EGARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1831 | 3.63*** |
| αARCH | 0.1355 | 6.20*** |
| βGARCH | 0.9454 | 83.34*** |
| γleverage | 0.1230 | 6.12*** |
0.945
Persistence12d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1831 | 3.63*** |
α ARCH Response to squared shocks | 0.1355 | 6.20*** |
β GARCH Volatility persistence | 0.9454 | 83.34*** |
γ leverage Additional response to negative shocks | 0.1230 | 6.12*** |
Persistence:
0.945
Half-life:
12 days
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