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

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V-Lab

SMI Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:71.51% (+15.59%)

Analysis last updated: Friday, December 20, 2024 at 09:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	29.1406	11.59
$α$	0.0814	22.19
$β$	0.9563	235.84
$ν$	6	4.96

Estimation Period:
Jan 4, 1999 to Jul 31, 2024