CBOE NASDAQ-100 Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
89.10%
increased by 13.00%
1 Week
90.35%
increased by 14.25%
1 Month
93.10%
increased by 17.00%
Analysis last updated: Friday, October 9, 2026 at 11:35 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2001 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 178% 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
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Inverse leverage: Positive returns increase volatility 178% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4328 | 8.40*** |
| αARCH | 0.3044 | 8.47*** |
| βGARCH | 0.6995 | 34.91*** |
| γleverage | -0.1949 | -4.33*** |
0.906
Persistence7d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4328 | 8.40*** |
α ARCH Response to squared shocks | 0.3044 | 8.47*** |
β GARCH Volatility persistence | 0.6995 | 34.91*** |
γ leverage Additional response to negative shocks | -0.1949 | -4.33*** |
Persistence:
0.906
Half-life:
7 days
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