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, August 29th, 2025:231.16% (+4.37%)

Analysis last updated: Friday, August 29, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9858	6.33
$α$	0.1222	3.70
$β$	0.5508	6.04
$γ_{1}$	0.0632	0.30
$γ_{2}$	0.0217	0.06
$γ_{3}$	-0.1798	-0.65
$γ_{4}$	0.1985	0.81
$γ_{5}$	-0.2980	-1.36
$γ_{6}$	0.4611	2.01
$γ_{7}$	-0.6993	-3.05
$γ_{8}$	0.9259	4.33
$γ_{9}$	-0.7067	-4.22

Estimation Period:
Jan 3, 2011 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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