V-Lab: CBOE NASDAQ-100 Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE NASDAQ-100 Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 30th, 2025:93.27% (-4.13%)

Analysis last updated: Friday, May 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1905	40.19
$β$	0.7765	68.20
$γ$	-0.1651	-10.52
$λ_{1}$	0.0424	1.96
$λ_{2}$	0.0068	2.24
$λ_{3}$	0.9922	282.44

Estimation Period:
Jan 23, 2001 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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