V-Lab
CBOE S&P 500 Left Tail Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
187.42%
1 Week
193.31%
1 Month
200.59%
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
Jan 3, 2006 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 68% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.2538 | 34.17*** |
β GARCH Volatility persistence | 0.5909 | 43.02*** |
γ leverage Additional response to negative shocks | -0.1024 | -6.23*** |
λ₁ tau intercept Baseline long-term coefficient | 4.9502 | 2.10** |
λ₂ forecast adj. Forecast performance sensitivity | 0.1967 | 4.85*** |
λ₃ tau persistence Long-term factor persistence | 0.7814 | 15.46*** |
Persistence:
0.793
Half-life:
3 days
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