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

V-Lab

CBOE Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 8th, 2025:90.74% (-2.94%)

Analysis last updated: Tuesday, July 8, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.3729	19.03
$α$	0.2003	19.34
$β$	0.7947	150.69
$γ$	-0.2003	-18.85

Estimation Period:
Jan 2, 1990 to Jul 4, 2025

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Volatility Forecasts

Volatility Forecasts