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

V-Lab

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V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, January 31st, 2025:121.38% (-9.60%)

Analysis last updated: Friday, January 31, 2025 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.3378	18.71
$α$	0.1997	19.12
$β$	0.7950	148.49
$γ$	-0.1997	-18.67

Estimation Period:
Jan 2, 1990 to Jan 24, 2025

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Volatility Forecasts