V-Lab: CBOE Volatility Index GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:97.70% (-4.09%)

Analysis last updated: Thursday, April 25, 2024 at 11:49 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.9585	17.64
$α$	0.1804	18.16
$β$	0.8112	155.43
$γ$	-0.1804	-17.72

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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