V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, July 7th, 2025:73.71% (-1.96%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 3.6158 | 18.26 | |
| 0.1744 | 13.46 | |
| 0.7898 | 110.12 | |
| -0.1744 | -13.18 |
Estimation Period:
Jan 2, 2004 to Jul 3, 2025
Jan 2, 2004 to Jul 3, 2025
News Impact Curve
Volatility Forecasts
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