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

V-Lab

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V-Lab

CBOE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 11th, 2025:160.53% (+26.18%)

Analysis last updated: Tuesday, March 11, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0043	10.14
$α$	0.1323	7.28
$β$	0.7286	21.00
$γ_{1}$	0.0030	3.27
$γ_{2}$	-0.0043	-3.84

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts