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

V-Lab

SMI Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 25th, 2025:71.39% (-2.32%)

Analysis last updated: Saturday, July 26, 2025 at 01:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4067	23.97
$α$	0.1791	24.13
$β$	0.8168	177.30
$γ$	-0.1658	-20.58

Estimation Period:
Jan 4, 1999 to May 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts