V-Lab
CBOE Skew Index EGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
36.93%
decreased by 1.42%
1 Week
37.28%
decreased by 1.07%
1 Month
38.55%
increased by 0.20%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 109% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 109% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0423 | 3.05*** |
| αARCH | 0.2118 | 9.01*** |
| βGARCH | 0.9806 | 167.30*** |
| γleverage | 0.0747 | 2.50** |
0.981
Persistence35d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0423 | 3.05*** |
α ARCH Response to squared shocks | 0.2118 | 9.01*** |
β GARCH Volatility persistence | 0.9806 | 167.30*** |
γ leverage Additional response to negative shocks | 0.0747 | 2.50** |
Persistence:
0.981
Half-life:
35 days
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