V-Lab: CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, January 31st, 2025:135.70% (-3.48%)

Analysis last updated: Friday, January 31, 2025 at 12:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9174	5.50
$α$	0.1233	6.86
$β$	0.7389	19.71
$γ_{1}$	-0.0034	-0.09
$γ_{2}$	0.0517	0.92
$γ_{3}$	-0.0862	-1.98
$γ_{4}$	0.0498	1.16
$γ_{5}$	-0.0258	-0.77
$γ_{6}$	0.0496	1.60
$γ_{7}$	-0.0629	-2.29

Estimation Period:
Oct 6, 1997 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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