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

V-Lab

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V-Lab

CBOE Interest Rate Swap Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 14th, 2022:25.79% (-0.68%)

Analysis last updated: Monday, February 14, 2022 at 03:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9393	2.78
$α$	0.2148	3.50
$β$	0.6935	12.06
$γ_{1}$	-0.9762	-0.96
$γ_{2}$	1.4761	1.01
$γ_{3}$	-1.7677	-1.46
$γ_{4}$	3.5696	2.18
$γ_{5}$	-4.1092	-1.97
$γ_{6}$	2.6026	1.33
$γ_{7}$	-0.8662	-0.54
$γ_{8}$	0.2683	0.14
$γ_{9}$	-1.4381	-0.53

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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