V-Lab: CBOE Goldman Sachs Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

CBOE Goldman Sachs Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:76.35% (+1.99%)

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
$ω$	1.5842	7.66
$α$	0.1788	6.70
$β$	0.6314	12.02
$γ_{1}$	0.1976	5.66
$γ_{2}$	-0.2703	-5.10
$γ_{3}$	0.0850	2.39
$γ_{4}$	-0.0087	-0.35

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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