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

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:101.43% (-3.77%)

Analysis last updated: Monday, June 30, 2025 at 11:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2036	43.62
$β$	0.7530	103.24
$γ$	-0.2036	-28.48
$λ_{1}$	0.0508	1.53
$λ_{2}$	0.0048	3.49
$λ_{3}$	0.9940	512.10

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts