V-Lab: CBOE DJIA Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE DJIA Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:138.37% (-2.87%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1803	29.25
$β$	0.7796	74.63
$γ$	-0.1385	-13.13
$λ_{1}$	0.0131	0.90
$λ_{2}$	0.0067	4.06
$λ_{3}$	0.9933	631.48

Estimation Period:
Oct 6, 1997 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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