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 Thursday, May 8th, 2025:189.66% (-3.47%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1791	19.78
$β$	0.6975	40.49
$γ$	-0.1791	-9.75
$λ_{1}$	0.9392	0.50
$λ_{2}$	0.0067	0.81
$λ_{3}$	0.9873	52.31

Estimation Period:
Jan 3, 2011 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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