V-Lab: CBOE Volatility Index GAS-GARCH Student T Volatility Analysis

V-Lab

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V-Lab

CBOE Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Tuesday, January 21st, 2025:96.25% (-10.31%)

Analysis last updated: Tuesday, January 21, 2025 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	44.2713	19.43
$α$	0.1225	25.67
$β$	0.9094	183.27
$ν$	5	7.77

Estimation Period:
Jan 2, 1990 to Jan 17, 2025