V-Lab: CBOE Volatility Index GAS-GARCH Student T Volatility Analysis

V-Lab

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V-Lab

CBOE Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:126.57% (-9.61%)

Analysis last updated: Wednesday, April 17, 2024 at 11:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	43.5773	19.67
$α$	0.1190	25.26
$β$	0.9113	188.47
$ν$	6	7.48

Estimation Period:
Jan 2, 1990 to Apr 12, 2024