SMI Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1939	45.18***
β GARCH Volatility persistence	0.7705	112.42***
γ leverage Additional response to negative shocks	-0.1900	-38.98***
λ₁ tau intercept Baseline long-term coefficient	0.0388	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.0056	3.55***
λ₃ tau persistence Long-term factor persistence	0.9930	474.66***

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SMI Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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