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 Friday, December 20th, 2024:290.71% (-35.43%)

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
$ω$	1.0635	7.53
$α$	0.1276	7.27
$β$	0.7253	20.65
$γ_{1}$	0.0096	0.25
$γ_{2}$	0.0086	0.15
$γ_{3}$	-0.0526	-1.56
$γ_{4}$	0.0869	2.92
$γ_{5}$	-0.0879	-2.22
$γ_{6}$	0.0464	1.09
$γ_{7}$	-0.0005	-0.01
$γ_{8}$	-0.0504	-1.69
$γ_{9}$	0.0645	3.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts