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

V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:86.69% (+11.29%)

Analysis last updated: Wednesday, July 30, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.3585	19.00
$α$	0.2005	19.36
$β$	0.7949	150.95
$γ$	-0.2005	-18.87

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

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Volatility Forecasts

Volatility Forecasts