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V-Lab

CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Volatility prediction for Monday, July 13th, 2026

1 Day

98.70%

increased by 1.62%

1 Week

102.36%

increased by 5.28%

1 Month

110.48%

increased by 13.40%

Analysis last updated: Monday, July 13, 2026 at 01:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 5, 2012 to Jul 10, 2026

Model 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

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.1177
18.52***
β

GARCH

Volatility persistence

0.8606
74.88***
γ

leverage

Additional response to negative shocks

-0.1177
-18.35***
λ₁

tau intercept

Baseline long-term coefficient

0.2430
1.17
λ₂

forecast adj.

Forecast performance sensitivity

0.0100
1.47
λ₃

tau persistence

Long-term factor persistence

0.9852
94.64***

Persistence:

0.919

Half-life:

8 days