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 Wednesday, July 30th, 2025:103.24% (+4.87%)

Analysis last updated: Wednesday, July 30, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9962	10.15
$α$	0.1346	7.38
$β$	0.7250	21.04
$γ_{1}$	0.0029	3.22
$γ_{2}$	-0.0042	-3.80

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts