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 Monday, June 30th, 2025:86.34% (-1.86%)

Analysis last updated: Monday, June 30, 2025 at 11:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.2230	30.87
$β$	0.6719	44.60
$γ$	-0.1822	-22.33
$λ_{1}$	1.4135	1.20
$λ_{2}$	0.0668	1.52
$λ_{3}$	0.8927	11.64

Estimation Period:
Jan 7, 2011 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE Goldman Sachs Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T