V-Lab
CBOE S&P 500 One-Year Volatility Index MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 10th, 2026
1 Day
26.41%
decreased by 3.04%
1 Week
29.34%
decreased by 0.11%
1 Month
38.91%
increased by 9.46%
Analysis last updated: Monday, August 10, 2026 at 11:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 2017 to Aug 7, 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.
μ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3240 | 7.71*** |
α ARCH Response to squared shocks | 0.2996 | 17.90*** |
β GARCH Volatility persistence | 0.7004 | 60.90*** |
Persistence:
1.000
Half-life:
-
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