CBOE Volatility Index - OLD EGARCH Volatility Analysis
Inactive
Last recorded values (Friday, September 24th, 2021):
1 Day
152.15%
1 Week
147.92%
1 Month
136.09%
Analysis last updated: Thursday, February 3, 2022 at 04:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1663 | 10.57 | |
| 0.1194 | 30.18 | |
| 0.9566 | 317.07 | |
| 0.1539 | 30.83 |
Estimation Period:
Jan 2, 1990 to Aug 27, 2021
Jan 2, 1990 to Aug 27, 2021
Other CBOE Volatility Index - OLD Analyses
Other EGARCH Analyses on Volatility Indices