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

V-Lab

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

Volatility Prediction for Friday, September 19th, 2025:179.83% (-1.90%)

Analysis last updated: Friday, September 19, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9828	6.34
$α$	0.1211	3.70
$β$	0.5509	5.98
$γ_{1}$	0.0544	0.26
$γ_{2}$	0.0370	0.11
$γ_{3}$	-0.1928	-0.71
$γ_{4}$	0.2109	0.86
$γ_{5}$	-0.3102	-1.41
$γ_{6}$	0.4787	2.08
$γ_{7}$	-0.7389	-3.08
$γ_{8}$	1.0316	3.82
$γ_{9}$	-1.0284	-2.66

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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