CBOE 1-Day Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
372.27%
decreased by 28.71%
1 Week
382.04%
decreased by 18.94%
1 Month
412.85%
increased by 11.87%
Analysis last updated: Friday, October 16, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 13, 2022 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = -10.00) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 0.94 |
| αARCH | 0.1574 | 6.32*** |
| βGARCH | 0.8140 | 46.33*** |
| γleverage | -10.0000 | -2.85*** |
0.971
Persistence24d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 0.94 |
α ARCH Response to squared shocks | 0.1574 | 6.32*** |
β GARCH Volatility persistence | 0.8140 | 46.33*** |
γ leverage Additional response to negative shocks | -10.0000 | -2.85*** |
Persistence:
0.971
Half-life:
24 days
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