CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
67.41%
1 Week
70.21%
1 Month
74.16%
Analysis last updated: Friday, October 16, 2026 at 11:32 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 389% 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 | 0.2090 | 7.70*** |
| βGARCH | 0.6849 | 16.17*** |
| γleverage | -0.1663 | -5.46*** |
| λ₁tau intercept | 1.1745 | 1.20 |
| λ₂forecast adj. | 0.0648 | 1.30 |
| λ₃tau persistence | 0.8995 | 11.83*** |
0.811
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 | 0.2090 | 7.70*** |
β GARCH Volatility persistence | 0.6849 | 16.17*** |
γ leverage Additional response to negative shocks | -0.1663 | -5.46*** |
λ₁ tau intercept Baseline long-term coefficient | 1.1745 | 1.20 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0648 | 1.30 |
λ₃ tau persistence Long-term factor persistence | 0.8995 | 11.83*** |
Persistence:
0.811
Half-life:
3 days
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