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 Friday, December 20th, 2024:505.82% (-62.49%)

Analysis last updated: Friday, December 20, 2024 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9546	9.05
$α$	0.1248	3.82
$β$	0.6108	8.36
$γ_{1}$	0.0285	1.51
$γ_{2}$	-0.0598	-2.19
$γ_{3}$	0.0456	3.33

Estimation Period:
Jan 3, 2011 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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