CBOE S&P 500 9-Day Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
201.70%
increased by 9.68%
1 Week
202.31%
increased by 10.29%
1 Month
204.32%
increased by 12.30%
Analysis last updated: Friday, July 17, 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 Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 284% 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 12.53*** |
α ARCH Response to squared shocks | 0.1677 | 21.43*** |
β GARCH Volatility persistence | 0.8665 | 206.31*** |
γ leverage Additional response to negative shocks | -0.1240 | -13.14*** |
Persistence:
0.972
Half-life:
25 days
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