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 31st, 2025:85.17% (-4.00%)

Analysis last updated: Thursday, July 31, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.2209	30.91
$β$	0.6783	45.44
$γ$	-0.1841	-22.84
$λ_{1}$	1.4304	1.15
$λ_{2}$	0.0664	1.44
$λ_{3}$	0.8924	11.02

Estimation Period:
Jan 7, 2011 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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