V-Lab: CBOE Russell 2000 Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE Russell 2000 Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:83.87% (+8.04%)

Analysis last updated: Friday, August 1, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1816	29.69
$β$	0.7726	86.10
$γ$	-0.1816	-20.73
$λ_{1}$	0.5118	1.09
$λ_{2}$	0.0151	1.36
$λ_{3}$	0.9681	37.88

Estimation Period:
Jan 2, 2004 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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