V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, December 20th, 2024:425.31% (-14.63%)
Analysis last updated: Friday, December 20, 2024 at 12:30 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.18 | |
| 0.0689 | 11.74 | |
| 0.9281 | 223.58 | |
| -0.0689 | -6.48 |
Estimation Period:
Jan 3, 2011 to Dec 13, 2024
Jan 3, 2011 to Dec 13, 2024
News Impact Curve
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