V-Lab: CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 13th, 2025:322.10% (+109.03%)

Analysis last updated: Monday, October 13, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9876	6.39
$α$	0.1218	3.67
$β$	0.5480	5.97
$γ_{1}$	0.0682	0.33
$γ_{2}$	0.0104	0.03
$γ_{3}$	-0.1644	-0.61
$γ_{4}$	0.1748	0.72
$γ_{5}$	-0.2630	-1.20
$γ_{6}$	0.4163	1.87
$γ_{7}$	-0.6517	-2.96
$γ_{8}$	0.8925	4.44
$γ_{9}$	-0.6924	-4.59

Estimation Period:
Jan 3, 2011 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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