V-Lab
CBOE S&P 500 One-Year Volatility Index Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, August 7th, 2026
1 Day
28.15%
1 Week
30.80%
1 Month
39.67%
Analysis last updated: Friday, August 7, 2026 at 11:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 2017 to Jul 31, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 56% more than negative returns
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3099 | 10.64*** |
α ARCH Response to squared shocks | 0.3580 | 15.95*** |
β GARCH Volatility persistence | 0.7066 | 61.02*** |
γ leverage Additional response to negative shocks | -0.1292 | -4.55*** |
Persistence:
1.000
Half-life:
-
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