CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, November 5th, 2026
1 Day
104.34%
1 Week
97.90%
1 Month
89.17%
Analysis last updated: Thursday, November 5, 2026 at 12:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 30, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 359% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 56 | |
| αARCH | 0.2087 | 7.70*** |
| βGARCH | 0.6851 | 16.16*** |
| γleverage | -0.1632 | -5.33*** |
| λ₁tau intercept | 1.2758 | 1.15 |
| λ₂forecast adj. | 0.0639 | 1.23 |
| λ₃tau persistence | 0.8978 | 10.98*** |
0.812
Persistence3d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 56 | |
α ARCH Response to squared shocks | 0.2087 | 7.70*** |
β GARCH Volatility persistence | 0.6851 | 16.16*** |
γ leverage Additional response to negative shocks | -0.1632 | -5.33*** |
λ₁ tau intercept Baseline long-term coefficient | 1.2758 | 1.15 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0639 | 1.23 |
λ₃ tau persistence Long-term factor persistence | 0.8978 | 10.98*** |
Persistence:
0.812
Half-life:
3 days
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