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 Thursday, November 13th, 2025:157.98% (-5.05%)

Analysis last updated: Thursday, November 13, 2025 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9849	6.42
$α$	0.1205	3.69
$β$	0.5475	5.89
$γ_{1}$	0.0628	0.31
$γ_{2}$	0.0182	0.06
$γ_{3}$	-0.1681	-0.64
$γ_{4}$	0.1734	0.71
$γ_{5}$	-0.2561	-1.17
$γ_{6}$	0.4137	1.88
$γ_{7}$	-0.6848	-3.00
$γ_{8}$	1.0469	3.88
$γ_{9}$	-1.2158	-2.62

Estimation Period:
Jan 3, 2011 to Nov 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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