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

V-Lab

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V-Lab

SMI Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, October 4th, 2024:79.95% (-3.00%)

Analysis last updated: Friday, October 4, 2024 at 04:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9512	21.75
$α$	0.1526	24.24
$β$	0.8443	188.01
$γ$	-0.1410	-19.49

Estimation Period:
Jan 4, 1999 to Jul 31, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts