V-Lab
CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, January 21st, 2025:65.52% (-4.75%)
Analysis last updated: Saturday, January 18, 2025 at 11:56 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 2.1188 | 18.93 | |
| 0.2782 | 17.17 | |
| 0.7613 | 120.57 | |
| -0.2782 | -17.67 |
Estimation Period:
Jul 17, 2006 to Jan 17, 2025
Jul 17, 2006 to Jan 17, 2025
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