CBOE 3-Month Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
152.13%
increased by 86.80%
1 Week
145.04%
increased by 79.71%
1 Month
124.52%
increased by 59.19%
Analysis last updated: Monday, October 19, 2026 at 11:35 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 9, 2007 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 75% 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
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Inverse leverage: Positive returns increase volatility 75% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7164 | 6.82*** |
| αARCH | 0.4265 | 7.73*** |
| βGARCH | 0.5976 | 22.19*** |
| γleverage | -0.1829 | -2.14** |
0.933
Persistence10d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7164 | 6.82*** |
α ARCH Response to squared shocks | 0.4265 | 7.73*** |
β GARCH Volatility persistence | 0.5976 | 22.19*** |
γ leverage Additional response to negative shocks | -0.1829 | -2.14** |
Persistence:
0.933
Half-life:
10 days
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