V-Lab: CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis

V-Lab

| |

V-Lab

CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:106.51% (-6.10%)

Analysis last updated: Friday, December 20, 2024 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	49.3837	15.25
$α$	0.1245	27.53
$β$	0.9174	187.49
$ν$	4	12.17

Estimation Period:
Oct 6, 1997 to Dec 13, 2024

Other CBOE DJIA Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
MF2-GARCH