V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, August 29th, 2025:170.08% (-2.46%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.66 | |
| 0.0683 | 12.22 | |
| 0.9293 | 229.34 | |
| -0.0683 | -6.51 |
Estimation Period:
Jan 3, 2011 to Aug 22, 2025
Jan 3, 2011 to Aug 22, 2025
News Impact Curve
Volatility Forecasts
Other CBOE S&P 500 9-Day Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices