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

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:101.40% (-3.59%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2034	43.49
$β$	0.7543	103.63
$γ$	-0.2034	-28.33
$λ_{1}$	0.0496	1.54
$λ_{2}$	0.0047	3.49
$λ_{3}$	0.9941	523.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts