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 Thursday, April 17th, 2025:258.45% (-18.55%)

Analysis last updated: Thursday, April 17, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9705	5.76
$α$	0.1224	3.58
$β$	0.5536	6.01
$γ_{1}$	0.0238	0.07
$γ_{2}$	0.0997	0.18
$γ_{3}$	-0.2224	-0.57
$γ_{4}$	0.1760	0.56
$γ_{5}$	-0.1414	-0.39
$γ_{6}$	-0.0227	-0.06
$γ_{7}$	0.3660	1.08
$γ_{8}$	-0.8609	-2.65
$γ_{9}$	1.2796	3.93
$γ_{10}$	-1.0042	-3.74

Estimation Period:
Jan 3, 2011 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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