V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 4th, 2024:80.33% (+4.71%)
Analysis last updated: Friday, October 4, 2024 at 11:30 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 3.1828 | 16.99 | |
| 0.1661 | 12.78 | |
| 0.8062 | 115.57 | |
| -0.1661 | -12.55 |
Estimation Period:
Jan 2, 2004 to Sep 27, 2024
Jan 2, 2004 to Sep 27, 2024
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