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

V-Lab

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V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:85.01% (-3.85%)

Analysis last updated: Friday, April 26, 2024 at 11:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1811	42.89
$β$	0.7744	105.56
$γ$	-0.1811	-26.80
$λ_{1}$	0.0416	1.41
$λ_{2}$	0.0043	2.99
$λ_{3}$	0.9946	505.15

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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