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 Monday, December 30th, 2024:109.39% (-4.50%)

Analysis last updated: Monday, December 30, 2024 at 12:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2452	5.39
$α$	0.3008	5.11
$β$	0.1430	1.96
$γ_{1}$	0.1382	2.34
$γ_{2}$	-0.2149	-2.60
$γ_{3}$	0.0974	2.18
$γ_{4}$	-0.0176	-0.66

Estimation Period:
Jan 7, 2011 to Dec 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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