V-Lab: CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 10th, 2025:82.91% (+3.18%)

Analysis last updated: Thursday, July 10, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.2234	30.89
$β$	0.6719	44.60
$γ$	-0.1822	-22.32
$λ_{1}$	1.4517	1.19
$λ_{2}$	0.0674	1.50
$λ_{3}$	0.8908	11.28

Estimation Period:
Jan 7, 2011 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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