V-Lab
CBOE Goldman Sachs Volatility Index EGARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
67.17%
decreased by 2.28%
1 Week
68.57%
decreased by 0.88%
1 Month
73.51%
increased by 4.06%
Analysis last updated: Tuesday, October 6, 2026 at 03:12 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 2, 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 | 0.1076 | 1.47 |
| αARCH | 0.0924 | 4.47*** |
| βGARCH | 0.9700 | 68.59*** |
| γleverage | 0.1244 | 5.12*** |
0.970
Persistence23d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1076 | 1.47 |
α ARCH Response to squared shocks | 0.0924 | 4.47*** |
β GARCH Volatility persistence | 0.9700 | 68.59*** |
γ leverage Additional response to negative shocks | 0.1244 | 5.12*** |
Persistence:
0.970
Half-life:
23 days
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