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

V-Lab

CBOE Google Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:119.69% (-3.74%)

Analysis last updated: Friday, April 18, 2025 at 11:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2038	5.44
$α$	0.2794	5.08
$β$	0.1500	1.96
$γ_{1}$	0.1260	2.22
$γ_{2}$	-0.1967	-2.44
$γ_{3}$	0.0831	1.70
$γ_{4}$	0.0342	0.55

Estimation Period:
Jan 7, 2011 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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