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

V-Lab

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

Volatility Prediction for Friday, May 9th, 2025:49.82% (+0.27%)

Analysis last updated: Friday, May 9, 2025 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3372	2.59
$α$	0.2393	7.42
$β$	0.6430	17.99
$γ_{1}$	-0.0919	-0.42
$γ_{2}$	0.2046	0.71
$γ_{3}$	-0.2388	-1.55
$γ_{4}$	0.3244	1.50
$γ_{5}$	-0.4062	-1.33
$γ_{6}$	0.3940	1.42
$γ_{7}$	-0.4288	-2.19
$γ_{8}$	0.7682	2.75

Estimation Period:
Jan 3, 2007 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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