V-Lab: CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:129.05% (+8.54%)

Analysis last updated: Wednesday, May 1, 2024 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0291	6.76
$α$	0.1169	3.35
$β$	0.5851	6.35
$γ_{1}$	0.1391	1.07
$γ_{2}$	-0.1584	-0.83
$γ_{3}$	0.0502	0.33
$γ_{4}$	-0.1234	-0.72
$γ_{5}$	0.2042	1.15
$γ_{6}$	-0.3132	-2.02
$γ_{7}$	0.3384	3.16

Estimation Period:
Jan 3, 2011 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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