V-Lab
CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, October 7th, 2024:79.56% (-7.40%)
Analysis last updated: Saturday, October 5, 2024 at 11:07 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.9785 | 18.53 | |
| 0.2676 | 18.20 | |
| 0.7710 | 121.96 | |
| -0.2676 | -18.29 |
Estimation Period:
Jul 17, 2006 to Oct 4, 2024
Jul 17, 2006 to Oct 4, 2024
News Impact Curve
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