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, June 13th, 2025:78.59% (-1.08%)

Analysis last updated: Friday, June 13, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1813	29.46
$β$	0.7728	85.80
$γ$	-0.1813	-20.55
$λ_{1}$	0.4946	1.13
$λ_{2}$	0.0161	1.43
$λ_{3}$	0.9677	39.38

Estimation Period:
Jan 2, 2004 to Jun 6, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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