V-Lab: SMI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SMI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:107.39% (+36.03%)

Analysis last updated: Friday, December 20, 2024 at 09:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7545	17.87
$α$	0.1125	7.28
$β$	0.7841	27.22
$γ_{1}$	-0.0009	-5.20

Estimation Period:
Jan 4, 1999 to Jul 31, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts