V-Lab: CBOE S&P 500 One-Year Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE S&P 500 One-Year Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:29.32% (+4.26%)

Analysis last updated: Wednesday, July 30, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.3586	42.26
$β$	0.6887	93.55
$γ$	-0.2952	-17.63
$λ_{1}$	6.7475	0.42
$λ_{2}$	0.0430	0.49
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 2007 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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