V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, January 21st, 2025:263.19% (-7.14%)
Analysis last updated: Monday, January 20, 2025 at 12:32 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.55 | |
| 0.0661 | 12.03 | |
| 0.9307 | 221.80 | |
| -0.0661 | -6.28 |
Estimation Period:
Jan 3, 2011 to Jan 17, 2025
Jan 3, 2011 to Jan 17, 2025
News Impact Curve
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