V-Lab
CBOE Skew Index MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
36.02%
1 Week
40.37%
1 Month
43.71%
Analysis last updated: Thursday, October 1, 2026 at 11:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 87% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.3371 | 8.72*** |
| βGARCH | 0.4731 | 11.90*** |
| γleverage | -0.1569 | -3.41*** |
| λ₁tau intercept | 0.0161 | 2.39** |
| λ₂forecast adj. | 0.0303 | 5.25*** |
| λ₃tau persistence | 0.9673 | 155.69*** |
0.732
Persistence2d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.3371 | 8.72*** |
β GARCH Volatility persistence | 0.4731 | 11.90*** |
γ leverage Additional response to negative shocks | -0.1569 | -3.41*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0161 | 2.39** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0303 | 5.25*** |
λ₃ tau persistence Long-term factor persistence | 0.9673 | 155.69*** |
Persistence:
0.732
Half-life:
2 days
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