V-Lab: CBOE Volatility Index AGARCH Volatility Analysis

V-Lab

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V-Lab

CBOE Volatility Index AGARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:112.24% (-8.40%)

Analysis last updated: Friday, April 19, 2024 at 11:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2460	11.64
$α$	0.1057	41.53
$β$	0.7845	248.41
$γ$	-4.9601	-26.57

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

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Volatility Forecasts

Volatility Forecasts