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, July 31st, 2025:188.75% (+0.91%)

Analysis last updated: Thursday, July 31, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9851	6.24
$α$	0.1223	3.73
$β$	0.5582	6.25
$γ_{1}$	0.0593	0.27
$γ_{2}$	0.0308	0.09
$γ_{3}$	-0.1928	-0.68
$γ_{4}$	0.2193	0.90
$γ_{5}$	-0.3275	-1.48
$γ_{6}$	0.4939	2.09
$γ_{7}$	-0.7241	-3.06
$γ_{8}$	0.9214	4.12
$γ_{9}$	-0.6770	-3.81

Estimation Period:
Jan 3, 2011 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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