SMI Volatility Index

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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
ωconst	0.7603	8.84***
αARCH	0.1475	7.53***
βGARCH	0.6904	19.29***

γ₁	-0.0265	-1.42
γ₂	0.0475	1.73*
γ₃	-0.0309	-1.63
γ₄	0.0175	0.94
γ₅	-0.0320	-1.80*
γ₆	0.0393	3.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7603	8.84***
α ARCH Response to squared shocks	0.1475	7.53***
β GARCH Volatility persistence	0.6904	19.29***

γ₁	-0.0265	-1.42
γ₂	0.0475	1.73*
γ₃	-0.0309	-1.63
γ₄	0.0175	0.94
γ₅	-0.0320	-1.80*
γ₆	0.0393	3.15***

V-Lab

SMI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses