V-Lab
CBOE DJIA Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
62.54%
decreased by 0.86%
1 Week
67.56%
increased by 4.16%
1 Month
82.27%
increased by 18.87%
Analysis last updated: Friday, August 7, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 113% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7399 | 15.01*** |
α ARCH Response to squared shocks | 0.1841 | 19.51*** |
β GARCH Volatility persistence | 0.8385 | 154.01*** |
γ leverage Additional response to negative shocks | -0.0976 | -9.34*** |
Persistence:
0.974
Half-life:
26 days
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