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

V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:94.78% (-4.79%)

Analysis last updated: Monday, June 30, 2025 at 11:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.3605	19.00
$α$	0.1999	19.33
$β$	0.7953	151.05
$γ$	-0.1999	-18.84

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts