CBOE Skew Index MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
43.50%
1 Week
43.64%
1 Month
44.34%
Analysis last updated: Wednesday, October 21, 2026 at 01:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 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 | 0.3369 | 8.73*** |
| βGARCH | 0.4729 | 11.89*** |
| γleverage | -0.1567 | -3.41*** |
| λ₁tau intercept | 0.0161 | 2.39** |
| λ₂forecast adj. | 0.0302 | 5.25*** |
| λ₃tau persistence | 0.9674 | 156.03*** |
0.731
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 | 0.3369 | 8.73*** |
β GARCH Volatility persistence | 0.4729 | 11.89*** |
γ leverage Additional response to negative shocks | -0.1567 | -3.41*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0161 | 2.39** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0302 | 5.25*** |
λ₃ tau persistence Long-term factor persistence | 0.9674 | 156.03*** |
Persistence:
0.731
Half-life:
2 days
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