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

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V-Lab

SMI Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 31st, 2025:66.15% (-2.73%)

Analysis last updated: Friday, October 31, 2025 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8671	14.64
$α$	0.1378	7.55
$β$	0.7217	21.69
$γ_{1}$	0.0046	2.78
$γ_{2}$	-0.0114	-3.46

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

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Volatility Forecasts

Volatility Forecasts