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

V-Lab

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

Volatility Prediction for Friday, May 9th, 2025:74.17% (+0.44%)

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
$ω$	1.4604	5.96
$α$	0.2257	6.67
$β$	0.6445	16.59
$γ_{1}$	0.2265	2.20
$γ_{2}$	-0.3238	-1.98
$γ_{3}$	0.1481	1.15
$γ_{4}$	-0.0743	-0.60
$γ_{5}$	0.1194	0.89
$γ_{6}$	-0.3360	-2.18
$γ_{7}$	0.7594	3.36

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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