V-Lab
V-Lab
CBOE 1-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, May 9th, 2025:400.96% (-2.90%)
Analysis last updated: Friday, May 9, 2025 at 11:31 AM UTC
Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of CBOE 1-Day Volatility Index GJR-GARCH
paramt-stat
ω5.00001.78
α0.02492.21
β0.9780199.59
γ-0.0249-1.26
Estimation Period:
May 13, 2022 to May 2, 2025
Impact of return on volatility tomorrow
Volatility Forecasts