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 Friday, July 11th, 2025:218.64% (-9.86%)

Analysis last updated: Friday, July 11, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9836	6.23
$α$	0.1225	3.74
$β$	0.5585	6.26
$γ_{1}$	0.0574	0.26
$γ_{2}$	0.0350	0.10
$γ_{3}$	-0.1982	-0.70
$γ_{4}$	0.2273	0.93
$γ_{5}$	-0.3384	-1.52
$γ_{6}$	0.5068	2.13
$γ_{7}$	-0.7381	-3.08
$γ_{8}$	0.9358	4.09
$γ_{9}$	-0.6912	-3.72

Estimation Period:
Jan 3, 2011 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE S&P 500 9-Day Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH