SMI Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
57.57%
decreased by 2.48%
1 Week
60.95%
increased by 0.90%
1 Month
69.79%
increased by 9.74%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Oct 8, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. Returns follow a Student-t distribution with v = 5.52 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 13-day half-lifev = 5.52 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 29.4520 | 3.27*** |
| αARCH | 0.0876 | 5.95*** |
| βGARCH | 0.9487 | 59.53*** |
| νDF | 5.5212 | 1.49 |
0.949
Persistence13d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 29.4520 | 3.27*** |
α ARCH Response to squared shocks | 0.0876 | 5.95*** |
β GARCH Volatility persistence | 0.9487 | 59.53*** |
ν DF Student-t tail thickness | 5.5212 | 1.49 |
Persistence:
0.949
Half-life:
13 days
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