V-Lab
CBOE 3-Month Volatility Index EGARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
62.79%
increased by 11.32%
1 Week
63.35%
increased by 11.88%
1 Month
64.87%
increased by 13.40%
Analysis last updated: Wednesday, September 9, 2026 at 11:32 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2006 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
EGARCH Model
Tap to view equation
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1873 | 1.76* |
| αARCH | 0.0977 | 3.40*** |
| βGARCH | 0.9353 | 41.93*** |
| γleverage | 0.2319 | 7.91*** |
0.935
Persistence10d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1873 | 1.76* |
α ARCH Response to squared shocks | 0.0977 | 3.40*** |
β GARCH Volatility persistence | 0.9353 | 41.93*** |
γ leverage Additional response to negative shocks | 0.2319 | 7.91*** |
Persistence:
0.935
Half-life:
10 days
Other CBOE 3-Month Volatility Index Analyses
Other EGARCH Analyses on Volatility Indices