V-Lab: CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:226.85% (-1.84%)

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
$ω$	0.9673	5.76
$α$	0.1222	3.57
$β$	0.5519	5.96
$γ_{1}$	0.0193	0.06
$γ_{2}$	0.1057	0.19
$γ_{3}$	-0.2262	-0.58
$γ_{4}$	0.1823	0.59
$γ_{5}$	-0.1525	-0.43
$γ_{6}$	-0.0037	-0.01
$γ_{7}$	0.3389	1.02
$γ_{8}$	-0.8334	-2.62
$γ_{9}$	1.2647	3.99
$γ_{10}$	-0.9995	-3.85

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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