V-Lab: CBOE 3-Month Volatility Index Spline-GARCH Volatility Analysis

V-Lab

CBOE 3-Month Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:99.31% (-0.28%)

Analysis last updated: Monday, July 14, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8857	4.27
$α$	0.2038	6.40
$β$	0.6538	14.46
$γ_{1}$	-0.1572	-2.12
$γ_{2}$	0.2373	2.07
$γ_{3}$	-0.1016	-1.08
$γ_{4}$	0.0100	0.10
$γ_{5}$	0.0818	0.78
$γ_{6}$	-0.2452	-1.93
$γ_{7}$	0.5686	3.66

Estimation Period:
Jul 17, 2006 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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