SMI Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
75.26%
decreased by 2.94%
1 Week
76.63%
decreased by 1.57%
1 Month
79.71%
increased by 1.51%
Analysis last updated: Friday, July 17, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to May 13, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4852 | 24.37*** |
α ARCH Response to squared shocks | 0.1835 | 24.04*** |
β GARCH Volatility persistence | 0.8110 | 172.38*** |
γ leverage Additional response to negative shocks | -0.1698 | -20.55*** |
Persistence:
0.910
Half-life:
7 days
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