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, September 18th, 2025:219.11% (-0.60%)

Analysis last updated: Thursday, September 18, 2025 at 11:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9866	6.35
$α$	0.1218	3.69
$β$	0.5495	6.00
$γ_{1}$	0.0645	0.31
$γ_{2}$	0.0185	0.05
$γ_{3}$	-0.1749	-0.64
$γ_{4}$	0.1906	0.78
$γ_{5}$	-0.2858	-1.30
$γ_{6}$	0.4447	1.96
$γ_{7}$	-0.6798	-3.01
$γ_{8}$	0.9060	4.33
$γ_{9}$	-0.6900	-4.28

Estimation Period:
Jan 3, 2011 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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