CBOE Energy ETF Volatility Index Asy. Power MEM Volatility Analysis
Last recorded values (Monday, February 14th, 2022):
1 Day
111.99%
1 Week
109.19%
1 Month
102.17%
Analysis last updated: Wednesday, September 2, 2026 at 04:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 33% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1669 | 1.30 |
| αARCH | 0.1421 | 4.28*** |
| βGARCH | 0.8147 | 18.87*** |
| γleverage | -0.2775 | -2.03** |
| δpower | 0.5000 | 1.60 |
0.930
Persistence10d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1669 | 1.30 |
α ARCH Response to squared shocks | 0.1421 | 4.28*** |
β GARCH Volatility persistence | 0.8147 | 18.87*** |
γ leverage Additional response to negative shocks | -0.2775 | -2.03** |
δ power Transformation power | 0.5000 | 1.60 |
Persistence:
0.930
Half-life:
10 days
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