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, September 18th, 2025:127.65% (-1.19%)

Analysis last updated: Thursday, September 18, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9143	5.64
$α$	0.1258	6.98
$β$	0.7323	19.31
$γ_{1}$	-0.0009	-0.02
$γ_{2}$	0.0471	0.90
$γ_{3}$	-0.0839	-2.09
$γ_{4}$	0.0499	1.21
$γ_{5}$	-0.0235	-0.70
$γ_{6}$	0.0431	1.50
$γ_{7}$	-0.0565	-2.37

Estimation Period:
Oct 6, 1997 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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