V-Lab
CBOE S&P 500 9-Day Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
143.65%
decreased by 1.69%
1 Week
148.20%
increased by 2.86%
1 Month
162.45%
increased by 17.11%
Analysis last updated: Wednesday, September 9, 2026 at 11:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 4, 2013 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 288% 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 288% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 3.14*** |
| αARCH | 0.1716 | 5.43*** |
| βGARCH | 0.8641 | 51.23*** |
| γleverage | -0.1274 | -3.36*** |
0.972
Persistence24d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.14*** |
α ARCH Response to squared shocks | 0.1716 | 5.43*** |
β GARCH Volatility persistence | 0.8641 | 51.23*** |
γ leverage Additional response to negative shocks | -0.1274 | -3.36*** |
Persistence:
0.972
Half-life:
24 days
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