V-Lab: CBOE Volatility Index GJR-GARCH Volatility Analysis

V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, August 29th, 2025:83.55% (-2.48%)

Analysis last updated: Friday, August 29, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4276	19.20
$α$	0.2027	19.47
$β$	0.7924	149.49
$γ$	-0.2027	-18.97

Estimation Period:
Jan 2, 1990 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts