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

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 16th, 2025:92.42% (-1.08%)

Analysis last updated: Friday, May 16, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2038	43.56
$β$	0.7542	103.71
$γ$	-0.2038	-28.46
$λ_{1}$	0.0485	1.53
$λ_{2}$	0.0046	3.50
$λ_{3}$	0.9942	534.81

Estimation Period:
Jan 2, 1990 to May 9, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts