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

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

Volatility Prediction for Wednesday, November 19th, 2025:237.79% (-5.07%)

Analysis last updated: Wednesday, November 19, 2025 at 12:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9883	6.42
$α$	0.1218	3.68
$β$	0.5482	6.01
$γ_{1}$	0.0675	0.34
$γ_{2}$	0.0088	0.03
$γ_{3}$	-0.1563	-0.59
$γ_{4}$	0.1559	0.64
$γ_{5}$	-0.2291	-1.05
$γ_{6}$	0.3678	1.70
$γ_{7}$	-0.5948	-2.80
$γ_{8}$	0.8471	4.43
$γ_{9}$	-0.6748	-4.79

Estimation Period:
Jan 3, 2011 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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