V-Lab: CBOE Interest Rate Swap Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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CBOE Interest Rate Swap Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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Analysis last updated: Monday, February 14, 2022 at 03:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9641	2.69
$α$	0.2101	3.55
$β$	0.7117	12.79
$γ_{1}$	-0.9874	-0.94
$γ_{2}$	1.4961	0.99
$γ_{3}$	-1.8183	-1.44
$γ_{4}$	3.6809	2.18
$γ_{5}$	-4.2119	-1.97
$γ_{6}$	2.5592	1.28
$γ_{7}$	-0.5616	-0.37
$γ_{8}$	-0.4634	-0.33
$γ_{9}$	0.3053	0.29

Estimation Period:
Jun 18, 2012 to Feb 11, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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