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 Friday, December 20th, 2024:159.45% (+17.44%)

Analysis last updated: Friday, December 20, 2024 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	43.9059	19.76
$α$	0.1211	25.89
$β$	0.9109	189.70
$ν$	5	7.74

Estimation Period:
Jan 2, 1990 to Dec 13, 2024