SMI Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
73.45%
increased by 0.91%
1 Week
74.94%
increased by 2.40%
1 Month
78.92%
increased by 6.38%
Analysis last updated: Friday, October 23, 2026 at 09:03 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 Oct 22, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 5.89 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 12-day half-lifev = 5.89 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 29.8171 | 3.78*** |
| αscore | 0.0941 | 6.04*** |
| βpersistence | 0.9424 | 60.47*** |
| νDF | 5.8899 | 1.40 |
0.942
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 29.8171 | 3.78*** |
α score Weight on the scaled score | 0.0941 | 6.04*** |
β persistence Volatility persistence | 0.9424 | 60.47*** |
ν DF Student-t tail thickness | 5.8899 | 1.40 |
Persistence:
0.942
Half-life:
12 days
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