V-Lab
CBOE DJIA Volatility Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
85.97%
increased by 0.09%
1 Week
90.05%
increased by 4.17%
1 Month
100.48%
increased by 14.60%
Analysis last updated: Wednesday, September 9, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = -4.21) 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 | 1.2460 | 2.00** |
| αARCH | 0.1117 | 10.31*** |
| βGARCH | 0.8300 | 51.31*** |
| γleverage | -4.2057 | -5.04*** |
0.942
Persistence12d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2460 | 2.00** |
α ARCH Response to squared shocks | 0.1117 | 10.31*** |
β GARCH Volatility persistence | 0.8300 | 51.31*** |
γ leverage Additional response to negative shocks | -4.2057 | -5.04*** |
Persistence:
0.942
Half-life:
12 days
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