V-Lab
S&P / TSX 60 VIX Volatility Index EGARCH Volatility Analysis
Volatility Prediction for Thursday, January 23rd, 2020:83.68% (-6.51%)
Analysis last updated: Monday, March 1, 2021 at 07:37 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8274 | 16.90 | |
| 0.3904 | 20.79 | |
| 0.8084 | 70.90 | |
| -0.0736 | -4.39 |
Estimation Period:
Oct 18, 2010 to Jan 17, 2020
Oct 18, 2010 to Jan 17, 2020
News Impact Curve
Volatility Forecasts
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