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 Tuesday, March 11th, 2025:258.16% (+36.29%)

Analysis last updated: Tuesday, March 11, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9702	5.75
$α$	0.1209	3.51
$β$	0.5497	5.94
$γ_{1}$	0.0174	0.05
$γ_{2}$	0.1060	0.19
$γ_{3}$	-0.2138	-0.54
$γ_{4}$	0.1520	0.48
$γ_{5}$	-0.1020	-0.27
$γ_{6}$	-0.0785	-0.20
$γ_{7}$	0.4307	1.23
$γ_{8}$	-0.9039	-2.65
$γ_{9}$	1.2484	3.65
$γ_{10}$	-0.9227	-3.25

Estimation Period:
Jan 3, 2011 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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