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, May 19th, 2025:119.24% (-5.22%)

Analysis last updated: Monday, May 19, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7892	4.23
$α$	0.2043	6.47
$β$	0.6545	14.49
$γ_{1}$	-0.3236	-3.36
$γ_{2}$	0.4931	3.27
$γ_{3}$	-0.2554	-2.08
$γ_{4}$	0.1329	1.08
$γ_{5}$	-0.0699	-0.51
$γ_{6}$	0.0972	0.65
$γ_{7}$	-0.3161	-1.87
$γ_{8}$	0.8598	3.69

Estimation Period:
Jul 17, 2006 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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