CBOE Volatility Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
98.92%
1 Week
93.91%
1 Month
83.68%
Analysis last updated: Friday, October 16, 2026 at 11:30 AM UTC
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 43% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 0.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3030 | 3.95*** |
| αARCH | 0.2182 | 14.85*** |
| βGARCH | 0.7217 | 37.24*** |
| γleverage | -0.2539 | -7.44*** |
| δpower | 0.6952 | 5.77*** |
0.895
Persistence6d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3030 | 3.95*** |
α ARCH Response to squared shocks | 0.2182 | 14.85*** |
β GARCH Volatility persistence | 0.7217 | 37.24*** |
γ leverage Additional response to negative shocks | -0.2539 | -7.44*** |
δ power Transformation power | 0.6952 | 5.77*** |
Persistence:
0.895
Half-life:
6 days
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