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 Thursday, October 30th, 2025:190.99% (-4.63%)

Analysis last updated: Thursday, October 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9858	6.40
$α$	0.1214	3.68
$β$	0.5477	5.96
$γ_{1}$	0.0642	0.31
$γ_{2}$	0.0161	0.05
$γ_{3}$	-0.1657	-0.62
$γ_{4}$	0.1709	0.70
$γ_{5}$	-0.2535	-1.16
$γ_{6}$	0.4022	1.82
$γ_{7}$	-0.6360	-2.92
$γ_{8}$	0.8833	4.47
$γ_{9}$	-0.6921	-4.71

Estimation Period:
Jan 3, 2011 to Oct 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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