V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, April 30th, 2024:172.66% (-2.20%)
Analysis last updated: Tuesday, April 30, 2024 at 11:30 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.16 | |
| 0.0669 | 11.33 | |
| 0.9290 | 215.55 | |
| -0.0669 | -5.79 |
Estimation Period:
Jan 3, 2011 to Apr 26, 2024
Jan 3, 2011 to Apr 26, 2024
News Impact Curve
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