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CBOE Volatility Index MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, October 21st, 2026

1 Day

141.96%

decreased by 14.45%

1 Week

134.89%

decreased by 21.52%

1 Month

121.96%

decreased by 34.45%

Analysis last updated: Wednesday, October 21, 2026 at 01:43 PM UTC

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Date Range:

from

10/20/2024

to

10/20/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CBOE Volatility Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Oct 16, 2026

Model Insight

This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.

σ

MF2-GARCH Model

Tap to view equation

Inverse leverage: volatility responds almost entirely to positive returns
ParamValuet-stat
mwindow26
αARCH0.2077
9.03***
βGARCH0.7494
32.97***
γleverage-0.2077
-7.48***
λ₁tau intercept0.0455
1.14
λ₂forecast adj.0.0044
2.99***
λ₃tau persistence0.9945
472.00***

0.853

Persistence

4d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

26
α

ARCH

Response to squared shocks

0.2077
9.03***
β

GARCH

Volatility persistence

0.7494
32.97***
γ

leverage

Additional response to negative shocks

-0.2077
-7.48***
λ₁

tau intercept

Baseline long-term coefficient

0.0455
1.14
λ₂

forecast adj.

Forecast performance sensitivity

0.0044
2.99***
λ₃

tau persistence

Long-term factor persistence

0.9945
472.00***

Persistence:

0.853

Half-life:

4 days