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, January 21st, 2025:113.92% (-6.92%)

Analysis last updated: Tuesday, January 21, 2025 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0068	10.11
$α$	0.1332	7.30
$β$	0.7278	20.98
$γ_{1}$	0.0031	3.26
$γ_{2}$	-0.0044	-3.82

Estimation Period:
Jan 2, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts