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, December 20th, 2024:352.69% (-44.20%)

Analysis last updated: Friday, December 20, 2024 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1883	43.55
$β$	0.7716	108.27
$γ$	-0.1883	-29.19
$λ_{1}$	0.0421	1.50
$λ_{2}$	0.0043	3.53
$λ_{3}$	0.9947	588.91

Estimation Period:
Jan 2, 1990 to Dec 13, 2024

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