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, October 4th, 2024:130.24% (+3.93%)

Analysis last updated: Friday, October 4, 2024 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.9900	17.73
$α$	0.1863	18.42
$β$	0.8081	154.75
$γ$	-0.1863	-17.97

Estimation Period:
Jan 2, 1990 to Sep 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts