V-Lab
CBOE Apple Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
94.50%
decreased by 3.39%
1 Week
99.10%
increased by 1.21%
1 Month
104.05%
increased by 6.16%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = -5.51) 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 | 7.4934 | 4.79*** |
| αARCH | 0.1051 | 6.53*** |
| βGARCH | 0.6567 | 17.40*** |
| γleverage | -5.5083 | -4.59*** |
0.762
Persistence3d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.4934 | 4.79*** |
α ARCH Response to squared shocks | 0.1051 | 6.53*** |
β GARCH Volatility persistence | 0.6567 | 17.40*** |
γ leverage Additional response to negative shocks | -5.5083 | -4.59*** |
Persistence:
0.762
Half-life:
3 days
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