V-Lab: CBOE S&P 500 One-Year Volatility Index Asy. Power MEM Volatility Analysis

V-Lab

CBOE S&P 500 One-Year Volatility Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Thursday, July 17th, 2025:31.62% (+8.80%)

Analysis last updated: Thursday, July 17, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1084	9.55
$α$	0.3062	17.75
$β$	0.6855	40.68
$γ$	-0.1977	-4.92
$δ$	0.5000	8.47

Estimation Period:
Jun 30, 2017 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE S&P 500 One-Year Volatility Index Analyses
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GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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CBOE S&P 500 9-Day Volatility Index
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TLT Percentage Price Volatility Index
CBOE 1-Day Volatility Index
CBOE S&P 500 6-Month Volatility Index