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, July 11th, 2025:85.06% (-2.66%)

Analysis last updated: Friday, July 11, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1818	29.58
$β$	0.7717	85.47
$γ$	-0.1818	-20.63
$λ_{1}$	0.5050	1.12
$λ_{2}$	0.0160	1.40
$λ_{3}$	0.9675	38.42

Estimation Period:
Jan 2, 2004 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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