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, May 30th, 2025:185.23% (-6.79%)

Analysis last updated: Friday, May 30, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9721	5.81
$α$	0.1217	3.56
$β$	0.5531	6.00
$γ_{1}$	0.0239	0.07
$γ_{2}$	0.1009	0.19
$γ_{3}$	-0.2274	-0.59
$γ_{4}$	0.1850	0.61
$γ_{5}$	-0.1566	-0.45
$γ_{6}$	0.0066	0.02
$γ_{7}$	0.3164	0.96
$γ_{8}$	-0.8009	-2.57
$γ_{9}$	1.2323	4.01
$γ_{10}$	-0.9743	-3.92

Estimation Period:
Jan 3, 2011 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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