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

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V-Lab

CBOE Google Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, January 31st, 2025:103.49% (+8.44%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2473	5.37
$α$	0.3053	5.16
$β$	0.1433	1.99
$γ_{1}$	0.1355	2.31
$γ_{2}$	-0.2112	-2.57
$γ_{3}$	0.0953	2.16
$γ_{4}$	-0.0157	-0.60

Estimation Period:
Jan 7, 2011 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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