CBOE Realized Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
36.27%
decreased by 0.25%
1 Week
41.27%
increased by 4.75%
1 Month
43.97%
increased by 7.45%
Analysis last updated: Monday, July 13, 2026 at 01:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Jul 10, 2026Boundary Parameters
Model 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 | 0.3116 | 3.32*** |
γ leverage Additional response to negative shocks | 0.5000 | 15.47*** |
λ₁ tau intercept Baseline long-term coefficient | 7.9839 | 0.23 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.579
Half-life:
1 days
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