CBOE S&P 500 9-Day Volatility Index AGARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
157.70%
increased by 0.87%
1 Week
170.10%
increased by 13.27%
1 Month
188.95%
increased by 32.12%
Analysis last updated: Tuesday, October 13, 2026 at 11:32 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2011 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = -10.00) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 4.44*** |
| αARCH | 0.0940 | 6.35*** |
| βGARCH | 0.7538 | 44.93*** |
| γleverage | -10.0000 | -4.99*** |
0.848
Persistence4d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 4.44*** |
α ARCH Response to squared shocks | 0.0940 | 6.35*** |
β GARCH Volatility persistence | 0.7538 | 44.93*** |
γ leverage Additional response to negative shocks | -10.0000 | -4.99*** |
Persistence:
0.848
Half-life:
4 days
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