V-Lab
CBOE NASDAQ-100 Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
80.27%
decreased by 5.78%
1 Week
83.23%
decreased by 2.82%
1 Month
89.57%
increased by 3.52%
Analysis last updated: Monday, August 10, 2026 at 11:39 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2001 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 179% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4443 | 33.55*** |
α ARCH Response to squared shocks | 0.3044 | 33.71*** |
β GARCH Volatility persistence | 0.6997 | 139.44*** |
γ leverage Additional response to negative shocks | -0.1952 | -17.32*** |
Persistence:
0.907
Half-life:
7 days
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