CBOE Volatility Index - OLD MF2-GARCH Volatility Analysis
Inactive
Last recorded values (Friday, September 24th, 2021):
1 Day
171.09%
1 Week
166.81%
1 Month
157.35%
Analysis last updated: Thursday, February 3, 2022 at 04:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 56 | ||
| 0.1880 | 44.40 | |
| 0.8000 | 142.28 | |
| -0.1880 | -35.63 | |
| 0.0077 | 0.80 | |
| 0.0038 | 2.89 | |
| 0.9962 | 695.66 |
Estimation Period:
Jan 2, 1990 to Aug 27, 2021
Jan 2, 1990 to Aug 27, 2021
Other CBOE Volatility Index - OLD Analyses
Other MF2-GARCH Analyses on Volatility Indices