V-Lab
CBOE S&P 500 9-Day Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
190.90%
decreased by 4.43%
1 Week
190.55%
decreased by 4.78%
1 Month
189.71%
decreased by 5.62%
Analysis last updated: Friday, October 2, 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 Sep 25, 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 | 0.4013 | 0.68 |
| αARCH | 0.0283 | 1.06 |
| βGARCH | 0.9189 | 10.90*** |
| γleverage | 0.1817 | 5.28*** |
0.919
Persistence8d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4013 | 0.68 |
α ARCH Response to squared shocks | 0.0283 | 1.06 |
β GARCH Volatility persistence | 0.9189 | 10.90*** |
γ leverage Additional response to negative shocks | 0.1817 | 5.28*** |
Persistence:
0.919
Half-life:
8 days
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