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

V-Lab

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V-Lab

SMI Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:71.29% (+3.11%)

Analysis last updated: Saturday, April 27, 2024 at 05:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	29.3307	11.33
$α$	0.0824	22.00
$β$	0.9566	232.81
$ν$	6	4.97

Estimation Period:
Jan 4, 1999 to Mar 28, 2024