CBOE IBM Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
99.30%
decreased by 0.35%
1 Week
108.15%
increased by 8.50%
1 Month
113.83%
increased by 14.18%
Analysis last updated: Friday, October 30, 2026 at 11:30 AM 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 23, 2026Model Insight
The news-impact curve is shifted (γ = -6.05) 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 | 15.0000 | 4.10*** |
| αARCH | 0.1347 | 4.01*** |
| βGARCH | 0.4907 | 7.08*** |
| γleverage | -6.0536 | -4.12*** |
0.625
Persistence1d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 4.10*** |
α ARCH Response to squared shocks | 0.1347 | 4.01*** |
β GARCH Volatility persistence | 0.4907 | 7.08*** |
γ leverage Additional response to negative shocks | -6.0536 | -4.12*** |
Persistence:
0.625
Half-life:
1 days
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