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 Monday, June 30th, 2025:203.25% (-3.73%)

Analysis last updated: Monday, June 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9827	6.21
$α$	0.1223	3.74
$β$	0.5599	6.30
$γ_{1}$	0.0557	0.25
$γ_{2}$	0.0387	0.11
$γ_{3}$	-0.2031	-0.71
$γ_{4}$	0.2344	0.96
$γ_{5}$	-0.3476	-1.56
$γ_{6}$	0.5164	2.15
$γ_{7}$	-0.7454	-3.09
$γ_{8}$	0.9372	4.08
$γ_{9}$	-0.6856	-3.69

Estimation Period:
Jan 3, 2011 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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