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

V-Lab

CBOE DJIA Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 30th, 2025:156.33% (-9.35%)

Analysis last updated: Friday, May 30, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9103	5.60
$α$	0.1248	6.91
$β$	0.7328	19.31
$γ_{1}$	-0.0016	-0.04
$γ_{2}$	0.0481	0.89
$γ_{3}$	-0.0840	-2.03
$γ_{4}$	0.0498	1.19
$γ_{5}$	-0.0257	-0.77
$γ_{6}$	0.0488	1.66
$γ_{7}$	-0.0626	-2.47

Estimation Period:
Oct 6, 1997 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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