CBOE NASDAQ-100 Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
81.84%
increased by 6.58%
1 Week
82.25%
increased by 6.99%
1 Month
83.58%
increased by 8.32%
Analysis last updated: Friday, October 9, 2026 at 11:35 AM UTC
Press Delete or Backspace to remove this series.
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: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
EGARCH Model
Tap to view equation
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1185 | 1.77* |
| αARCH | 0.0824 | 4.98*** |
| βGARCH | 0.9654 | 73.28*** |
| γleverage | 0.1489 | 8.43*** |
0.965
Persistence20d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1185 | 1.77* |
α ARCH Response to squared shocks | 0.0824 | 4.98*** |
β GARCH Volatility persistence | 0.9654 | 73.28*** |
γ leverage Additional response to negative shocks | 0.1489 | 8.43*** |
Persistence:
0.965
Half-life:
20 days
Other CBOE NASDAQ-100 Volatility Index Analyses
Other EGARCH Analyses on Volatility Indices