V-Lab: CBOE 1-Day Volatility Index Spline-GARCH Volatility Analysis

V-Lab

CBOE 1-Day Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:332.79% (-27.31%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6181	5.39
$α$	0.1111	2.40
$β$	0.0000	0.00
$γ_{1}$	-1.6555	-2.35
$γ_{2}$	2.8333	2.78
$γ_{3}$	-2.7769	-2.96

Estimation Period:
May 13, 2022 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE 1-Day Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH