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 Friday, May 30th, 2025:114.15% (-6.85%)

Analysis last updated: Friday, May 30, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9989	10.17
$α$	0.1340	7.35
$β$	0.7257	21.03
$γ_{1}$	0.0030	3.32
$γ_{2}$	-0.0044	-3.91

Estimation Period:
Jan 2, 1990 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts