CBOE DJIA Volatility Index EGARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
77.61%
decreased by 3.03%
1 Week
80.68%
increased by 0.04%
1 Month
90.70%
increased by 10.06%
Analysis last updated: Tuesday, October 13, 2026 at 11:33 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 9, 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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1948 | 3.32*** |
| αARCH | 0.1744 | 4.41*** |
| βGARCH | 0.9512 | 76.00*** |
| γleverage | 0.1389 | 3.71*** |
0.951
Persistence14d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1948 | 3.32*** |
α ARCH Response to squared shocks | 0.1744 | 4.41*** |
β GARCH Volatility persistence | 0.9512 | 76.00*** |
γ leverage Additional response to negative shocks | 0.1389 | 3.71*** |
Persistence:
0.951
Half-life:
14 days
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