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

V-Lab

| |

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 21st, 2025:96.17% (-3.66%)

Analysis last updated: Tuesday, January 21, 2025 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2007	42.79
$β$	0.7584	105.30
$γ$	-0.2007	-28.08
$λ_{1}$	0.0436	1.51
$λ_{2}$	0.0043	3.50
$λ_{3}$	0.9947	585.11

Estimation Period:
Jan 2, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts