V-Lab
V-Lab
CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, March 21st, 2025:135.47% (-7.08%)
Analysis last updated: Friday, March 21, 2025 at 11:35 AM UTC
Date Range:

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to

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1Y ·

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graph of CBOE IBM Volatility Index GJR-GARCH
paramt-stat
ω5.00008.12
α0.21998.65
β0.817474.75
γ-0.2194-7.73
Estimation Period:
Jan 7, 2011 to Mar 14, 2025
Impact of return on volatility tomorrow
Volatility Forecasts