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 Thursday, May 8th, 2025:138.17% (-0.93%)

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
$ω$	0.9166	5.61
$α$	0.1256	6.95
$β$	0.7325	19.39
$γ_{1}$	-0.0010	-0.03
$γ_{2}$	0.0479	0.88
$γ_{3}$	-0.0848	-2.02
$γ_{4}$	0.0502	1.19
$γ_{5}$	-0.0261	-0.78
$γ_{6}$	0.0497	1.67
$γ_{7}$	-0.0633	-2.46

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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