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 Monday, June 30th, 2025:85.60% (-2.83%)

Analysis last updated: Monday, June 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1815	29.52
$β$	0.7719	85.43
$γ$	-0.1815	-20.57
$λ_{1}$	0.5051	1.13
$λ_{2}$	0.0163	1.42
$λ_{3}$	0.9672	38.41

Estimation Period:
Jan 2, 2004 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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