CBOE Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
110.92%
increased by 37.87%
1 Week
110.19%
increased by 37.14%
1 Month
108.37%
increased by 35.32%
Analysis last updated: Thursday, October 15, 2026 at 11:31 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1992 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 138% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 138% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.5297 | 9.28*** |
| αARCH | 0.2957 | 10.40*** |
| βGARCH | 0.7105 | 41.04*** |
| γleverage | -0.1713 | -4.73*** |
0.921
Persistence8d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.5297 | 9.28*** |
α ARCH Response to squared shocks | 0.2957 | 10.40*** |
β GARCH Volatility persistence | 0.7105 | 41.04*** |
γ leverage Additional response to negative shocks | -0.1713 | -4.73*** |
Persistence:
0.921
Half-life:
8 days
Other CBOE Volatility Index Analyses
Other Asy. MEM Analyses on Volatility Indices