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

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

Volatility Prediction for Friday, December 12th, 2025:180.66% (+15.78%)

Analysis last updated: Friday, December 12, 2025 at 12:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9859	6.45
$α$	0.1200	3.68
$β$	0.5480	5.89
$γ_{1}$	0.0666	0.34
$γ_{2}$	0.0099	0.03
$γ_{3}$	-0.1574	-0.61
$γ_{4}$	0.1575	0.65
$γ_{5}$	-0.2321	-1.06
$γ_{6}$	0.3819	1.76
$γ_{7}$	-0.6522	-2.94
$γ_{8}$	1.0357	3.94
$γ_{9}$	-1.2642	-2.73

Estimation Period:
Jan 3, 2011 to Dec 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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