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

V-Lab

CBOE DJIA Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 24th, 2025:188.55% (-13.68%)

Analysis last updated: Thursday, April 24, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1793	29.28
$β$	0.7815	75.48
$γ$	-0.1378	-13.10
$λ_{1}$	0.0133	0.91
$λ_{2}$	0.0067	4.11
$λ_{3}$	0.9933	636.32

Estimation Period:
Oct 6, 1997 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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