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

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:124.75% (-1.65%)

Analysis last updated: Friday, April 26, 2024 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0287	6.75
$α$	0.1163	3.34
$β$	0.5878	6.39
$γ_{1}$	0.1397	1.07
$γ_{2}$	-0.1589	-0.82
$γ_{3}$	0.0501	0.33
$γ_{4}$	-0.1232	-0.71
$γ_{5}$	0.2033	1.14
$γ_{6}$	-0.3096	-1.98
$γ_{7}$	0.3327	3.09

Estimation Period:
Jan 3, 2011 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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