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

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SMI Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, October 10th, 2025:68.43% (-1.91%)

Analysis last updated: Saturday, October 11, 2025 at 12:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1889	45.16
$β$	0.7744	111.67
$γ$	-0.1859	-38.40
$λ_{1}$	0.0397	1.81
$λ_{2}$	0.0059	3.50
$λ_{3}$	0.9927	450.00

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts