V-Lab
CBOE Skew Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
40.36%
1 Week
41.62%
1 Month
42.72%
Analysis last updated: Friday, July 24, 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 Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 89% 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 | 21 | |
α ARCH Response to squared shocks | 0.3417 | 39.13*** |
β GARCH Volatility persistence | 0.4752 | 43.57*** |
γ leverage Additional response to negative shocks | -0.1607 | -13.92*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0169 | 3.54*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0305 | 7.15*** |
λ₃ tau persistence Long-term factor persistence | 0.9669 | 205.90*** |
Persistence:
0.737
Half-life:
2 days
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