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, June 13th, 2025:92.21% (-3.84%)

Analysis last updated: Friday, June 13, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1906	40.24
$β$	0.7763	68.30
$γ$	-0.1652	-10.53
$λ_{1}$	0.0426	1.97
$λ_{2}$	0.0069	2.25
$λ_{3}$	0.9921	281.21

Estimation Period:
Jan 23, 2001 to Jun 6, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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