V-Lab: CBOE S&P 500 6-Month Volatility Index GJR-GARCH Volatility Analysis

V-Lab

CBOE S&P 500 6-Month Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:43.26% (-2.92%)

Analysis last updated: Friday, May 9, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8900	18.85
$α$	0.2925	18.30
$β$	0.7721	126.43
$γ$	-0.2925	-17.61

Estimation Period:
Jan 2, 2008 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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