CBOE Apple Volatility Index EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
105.34%
increased by 0.32%
1 Week
104.82%
decreased by 0.20%
1 Month
102.98%
decreased by 2.04%
Analysis last updated: Thursday, July 16, 2026 at 11:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Jul 10, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0535 | 0.96 |
α ARCH Response to squared shocks | 0.0006 | 0.24 |
β GARCH Volatility persistence | 0.9845 | 103.17*** |
γ leverage Additional response to negative shocks | 0.1415 | 33.63*** |
Persistence:
0.985
Half-life:
44 days
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