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

V-Lab

CBOE NASDAQ-100 Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:102.83% (-2.20%)

Analysis last updated: Monday, May 19, 2025 at 11:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7484	11.11
$α$	0.1138	6.99
$β$	0.7453	20.62
$γ_{1}$	0.0513	3.67
$γ_{2}$	-0.0875	-3.93
$γ_{3}$	0.0615	3.16
$γ_{4}$	-0.0625	-2.87
$γ_{5}$	0.0913	2.76

Estimation Period:
Jan 23, 2001 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE NASDAQ-100 Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH