SMI Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
70.79%
decreased by 2.40%
1 Week
72.90%
decreased by 0.29%
1 Month
77.56%
increased by 4.37%
Analysis last updated: Friday, October 30, 2026 at 06:40 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
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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.4291 | 6.11*** |
| αARCH | 0.1810 | 6.01*** |
| βGARCH | 0.8137 | 43.92*** |
| γleverage | -0.1677 | -5.15*** |
0.911
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4291 | 6.11*** |
α ARCH Response to squared shocks | 0.1810 | 6.01*** |
β GARCH Volatility persistence | 0.8137 | 43.92*** |
γ leverage Additional response to negative shocks | -0.1677 | -5.15*** |
Persistence:
0.911
Half-life:
7 days
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