V-Lab
CBOE IBM Volatility Index EGARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
95.34%
decreased by 4.76%
1 Week
108.52%
increased by 8.42%
1 Month
116.20%
increased by 16.10%
Analysis last updated: Tuesday, September 29, 2026 at 11:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 184% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 184% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7587 | 4.43*** |
| αARCH | 0.3873 | 7.13*** |
| βGARCH | 0.5629 | 5.67*** |
| γleverage | 0.1855 | 3.73*** |
0.563
Persistence1d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7587 | 4.43*** |
α ARCH Response to squared shocks | 0.3873 | 7.13*** |
β GARCH Volatility persistence | 0.5629 | 5.67*** |
γ leverage Additional response to negative shocks | 0.1855 | 3.73*** |
Persistence:
0.563
Half-life:
1 days
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