FTSE 100 Implied Volatility Index 30 Days AGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
102.45%
decreased by 5.46%
1 Week
103.99%
decreased by 3.92%
1 Month
106.86%
decreased by 1.05%
Analysis last updated: Saturday, October 10, 2026 at 02:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 8, 2026Model Insight
The news-impact curve is shifted (γ = -4.12) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.1017 | 4.08*** |
| αARCH | 0.1099 | 7.60*** |
| βGARCH | 0.7640 | 35.95*** |
| γleverage | -4.1212 | -5.20*** |
0.874
Persistence5d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1017 | 4.08*** |
α ARCH Response to squared shocks | 0.1099 | 7.60*** |
β GARCH Volatility persistence | 0.7640 | 35.95*** |
γ leverage Additional response to negative shocks | -4.1212 | -5.20*** |
Persistence:
0.874
Half-life:
5 days
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