CBOE S&P 500 9-Day Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
200.02%
decreased by 9.24%
1 Week
198.25%
decreased by 11.01%
1 Month
194.04%
decreased by 15.22%
Analysis last updated: Friday, October 16, 2026 at 11:31 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
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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4025 | 0.69 |
| αARCH | 0.0287 | 1.08 |
| βGARCH | 0.9187 | 11.00*** |
| γleverage | 0.1817 | 5.26*** |
0.919
Persistence8d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4025 | 0.69 |
α ARCH Response to squared shocks | 0.0287 | 1.08 |
β GARCH Volatility persistence | 0.9187 | 11.00*** |
γ leverage Additional response to negative shocks | 0.1817 | 5.26*** |
Persistence:
0.919
Half-life:
8 days
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