V-Lab: SMI Volatility Index GJR-GARCH Volatility Analysis

V-Lab

SMI Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:121.51% (-9.39%)

Analysis last updated: Friday, May 2, 2025 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3327	23.24
$α$	0.1755	23.80
$β$	0.8209	174.37
$γ$	-0.1624	-20.36

Estimation Period:
Jan 4, 1999 to Apr 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts