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 Monday, June 30th, 2025:85.04% (-2.89%)

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
$m$	126
$α$	0.1902	40.23
$β$	0.7764	68.14
$γ$	-0.1649	-10.50
$λ_{1}$	0.0425	1.96
$λ_{2}$	0.0068	2.24
$λ_{3}$	0.9922	281.71

Estimation Period:
Jan 23, 2001 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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