V-Lab
CBOE NASDAQ-100 Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
86.91%
decreased by 3.16%
1 Week
87.96%
decreased by 2.11%
1 Month
90.63%
increased by 0.56%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2001 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = -3.84) 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 | 1.0144 | 2.89*** |
| αARCH | 0.0960 | 10.61*** |
| βGARCH | 0.8360 | 62.08*** |
| γleverage | -3.8364 | -7.83*** |
0.932
Persistence10d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0144 | 2.89*** |
α ARCH Response to squared shocks | 0.0960 | 10.61*** |
β GARCH Volatility persistence | 0.8360 | 62.08*** |
γ leverage Additional response to negative shocks | -3.8364 | -7.83*** |
Persistence:
0.932
Half-life:
10 days
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