V-Lab: CBOE Volatility Index Asy. Power MEM Volatility Analysis

V-Lab

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V-Lab

CBOE Volatility Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:88.77% (-1.91%)

Analysis last updated: Friday, May 3, 2024 at 06:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2617	15.36
$α$	0.1958	68.42
$β$	0.7616	218.79
$γ$	-0.2518	-32.78
$δ$	0.7772	24.25

Estimation Period:
Jan 1, 1992 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts