V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, May 30th, 2025:185.64% (-3.36%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.64 | |
| 0.0681 | 12.20 | |
| 0.9295 | 229.17 | |
| -0.0681 | -6.48 |
Estimation Period:
Jan 3, 2011 to May 23, 2025
Jan 3, 2011 to May 23, 2025
News Impact Curve
Volatility Forecasts
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