V-Lab: CBOE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

CBOE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 3rd, 2025:102.84% (-3.11%)

Analysis last updated: Thursday, July 3, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9971	10.18
$α$	0.1341	7.35
$β$	0.7251	20.97
$γ_{1}$	0.0030	3.30
$γ_{2}$	-0.0043	-3.88

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts