V-Lab: CBOE NASDAQ-100 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE NASDAQ-100 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:86.52% (-4.83%)

Analysis last updated: Friday, April 26, 2024 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7644	11.01
$α$	0.1064	6.57
$β$	0.7609	21.41
$γ_{1}$	0.0598	3.68
$γ_{2}$	-0.0988	-3.70
$γ_{3}$	0.0628	2.63
$γ_{4}$	-0.0506	-1.94
$γ_{5}$	0.0386	1.73

Estimation Period:
Jan 23, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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