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

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 31st, 2025:94.76% (-2.77%)

Analysis last updated: Thursday, July 31, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2042	43.75
$β$	0.7544	104.46
$γ$	-0.2042	-28.89
$λ_{1}$	0.0471	1.53
$λ_{2}$	0.0045	3.52
$λ_{3}$	0.9944	555.54

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

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Volatility Forecasts

Volatility Forecasts