V-Lab
CBOE Realized Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
36.83%
decreased by 1.16%
1 Week
41.48%
increased by 3.49%
1 Month
44.02%
increased by 6.03%
Analysis last updated: Friday, July 24, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.0172 | 1.95* |
β GARCH Volatility persistence | 0.3125 | 3.34*** |
γ leverage Additional response to negative shocks | 0.5000 | 15.49*** |
λ₁ tau intercept Baseline long-term coefficient | 7.9843 | 0.23 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.580
Half-life:
1 days
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