V-Lab
CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, September 15th, 2025:173.75% (-2.68%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 8.65 | |
| 0.0680 | 12.25 | |
| 0.9294 | 229.92 | |
| -0.0680 | -6.58 |
Estimation Period:
Jan 3, 2011 to Sep 12, 2025
Jan 3, 2011 to Sep 12, 2025
News Impact Curve
Volatility Forecasts
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