CBOE VIX Indicative Bid Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
120.86%
decreased by 8.16%
1 Week
121.90%
decreased by 7.12%
1 Month
123.75%
decreased by 5.27%
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
Sep 18, 2009 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = -8.38) 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 | 1.0680 | 0.71 |
| αARCH | 0.1060 | 9.64*** |
| βGARCH | 0.7570 | 44.01*** |
| γleverage | -8.3799 | -8.75*** |
0.863
Persistence5d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0680 | 0.71 |
α ARCH Response to squared shocks | 0.1060 | 9.64*** |
β GARCH Volatility persistence | 0.7570 | 44.01*** |
γ leverage Additional response to negative shocks | -8.3799 | -8.75*** |
Persistence:
0.863
Half-life:
5 days
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