V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, May 9th, 2025:71.88% (-1.60%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 3.5332 | 18.12 | |
| 0.1746 | 13.43 | |
| 0.7921 | 111.78 | |
| -0.1746 | -13.18 |
Estimation Period:
Jan 2, 2004 to May 2, 2025
Jan 2, 2004 to May 2, 2025
News Impact Curve
Volatility Forecasts
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