CBOE 3-Month Volatility Index Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
36.07%
1 Week
37.30%
1 Month
39.78%
Analysis last updated: Wednesday, October 14, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 9, 2007 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 24% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1944 | 4.36*** |
| αARCH | 0.2972 | 12.41*** |
| βGARCH | 0.6375 | 20.77*** |
| γleverage | -0.2126 | -4.53*** |
| δpower | 0.5000 | 3.09*** |
0.880
Persistence5d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1944 | 4.36*** |
α ARCH Response to squared shocks | 0.2972 | 12.41*** |
β GARCH Volatility persistence | 0.6375 | 20.77*** |
γ leverage Additional response to negative shocks | -0.2126 | -4.53*** |
δ power Transformation power | 0.5000 | 3.09*** |
Persistence:
0.880
Half-life:
5 days
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