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

V-Lab

CBOE Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:106.88% (-5.07%)

Analysis last updated: Monday, May 19, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0301	10.19
$α$	0.1347	7.33
$β$	0.7236	20.91
$γ_{1}$	0.0040	3.67
$γ_{2}$	-0.0068	-3.28

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts