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

V-Lab

SMI Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, August 4th, 2025:65.74% (+0.75%)

Analysis last updated: Saturday, August 2, 2025 at 03:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4132	24.03
$α$	0.1787	24.13
$β$	0.8161	176.52
$γ$	-0.1651	-20.49

Estimation Period:
Jan 4, 1999 to Jul 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts