V-Lab: CBOE S&P 500 9-Day Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE S&P 500 9-Day Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:179.39% (-0.57%)

Analysis last updated: Monday, May 19, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1799	20.26
$β$	0.6991	41.09
$γ$	-0.1799	-9.91
$λ_{1}$	0.9327	0.49
$λ_{2}$	0.0063	0.80
$λ_{3}$	0.9877	52.63

Estimation Period:
Jan 3, 2011 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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