SMI Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8667	14.82***
α ARCH Response to squared shocks	0.1462	7.53***
β GARCH Volatility persistence	0.7040	20.03***

γ₁	0.0043	2.82***
γ₂	-0.0114	-3.78***

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SMI Volatility Index Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses