V-Lab
CBOE DJIA Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
51.57%
decreased by 0.48%
1 Week
56.45%
increased by 4.40%
1 Month
71.28%
increased by 19.23%
Analysis last updated: Monday, October 5, 2026 at 11:39 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 116% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
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Inverse leverage: Positive returns increase volatility 116% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2354 | 3.21*** |
| αARCH | 0.1745 | 4.84*** |
| βGARCH | 0.8561 | 42.50*** |
| γleverage | -0.0938 | -2.38** |
0.984
Persistence42d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2354 | 3.21*** |
α ARCH Response to squared shocks | 0.1745 | 4.84*** |
β GARCH Volatility persistence | 0.8561 | 42.50*** |
γ leverage Additional response to negative shocks | -0.0938 | -2.38** |
Persistence:
0.984
Half-life:
42 days
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