V-Lab
CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
120.15%
1 Week
120.09%
1 Month
119.76%
Analysis last updated: Friday, July 24, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 5, 2012 to Jul 17, 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.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.1175 | 18.53*** |
β GARCH Volatility persistence | 0.8610 | 75.05*** |
γ leverage Additional response to negative shocks | -0.1175 | -18.36*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2515 | 1.18 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0102 | 1.46 |
λ₃ tau persistence Long-term factor persistence | 0.9849 | 92.33*** |
Persistence:
0.920
Half-life:
8 days
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