V-Lab: SMI Volatility Index MF2-GARCH Volatility Analysis

V-Lab

SMI Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 27th, 2025:77.49% (-1.35%)

Analysis last updated: Saturday, June 28, 2025 at 12:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1885	45.01
$β$	0.7739	109.96
$γ$	-0.1867	-38.54
$λ_{1}$	0.0452	1.79
$λ_{2}$	0.0066	3.49
$λ_{3}$	0.9919	400.91

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts