SMI Volatility Index

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	21
αARCH	0.1921	9.38***
βGARCH	0.7728	33.55***
γleverage	-0.1884	-8.70***
λ₁tau intercept	0.0386	1.26
λ₂forecast adj.	0.0056	2.37**
λ₃tau persistence	0.9930	328.15***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1921	9.38***
β GARCH Volatility persistence	0.7728	33.55***
γ leverage Additional response to negative shocks	-0.1884	-8.70***
λ₁ tau intercept Baseline long-term coefficient	0.0386	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.0056	2.37**
λ₃ tau persistence Long-term factor persistence	0.9930	328.15***

V-Lab

SMI Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses