V-Lab: CBOE Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 10th, 2025:95.63% (-2.25%)

Analysis last updated: Thursday, July 10, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2040	43.68
$β$	0.7530	103.36
$γ$	-0.2040	-28.60
$λ_{1}$	0.0498	1.53
$λ_{2}$	0.0047	3.49
$λ_{3}$	0.9941	522.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts