CBOE S&P 500 9-Day Volatility Index Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
318.13%
1 Week
299.25%
1 Month
252.85%
Analysis last updated: Tuesday, October 20, 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 Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 145% 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 = 1.06 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 | 1.0000 | 1.86* |
| αARCH | 0.1696 | 7.32*** |
| βGARCH | 0.7874 | 26.13*** |
| γleverage | -0.3995 | -5.30*** |
| δpower | 1.0605 | 5.43*** |
0.924
Persistence9d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.86* |
α ARCH Response to squared shocks | 0.1696 | 7.32*** |
β GARCH Volatility persistence | 0.7874 | 26.13*** |
γ leverage Additional response to negative shocks | -0.3995 | -5.30*** |
δ power Transformation power | 1.0605 | 5.43*** |
Persistence:
0.924
Half-life:
9 days
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