V-Lab
CBOE 3-Month Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
46.17%
decreased by 3.16%
1 Week
51.61%
increased by 2.28%
1 Month
63.70%
increased by 14.37%
Analysis last updated: Friday, September 4, 2026 at 11:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 9, 2007 to Aug 28, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 77% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7033 | 6.76*** |
α ARCH Response to squared shocks | 0.4228 | 7.66*** |
β GARCH Volatility persistence | 0.6017 | 22.55*** |
γ leverage Additional response to negative shocks | -0.1846 | -2.16** |
Persistence:
0.932
Half-life:
10 days
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