  In this paper, we present analytical proof demonstrating that the Sandwiched
Volterra Volatility (SVV) model is able to reproduce the power-law behavior of
the at-the-money implied volatility skew, provided the correct choice of the
Volterra kernel. To obtain this result, we assess the second-order Malliavin
differentiability of the volatility process and investigate the conditions that
lead to explosive behavior in the Malliavin derivative. As a supplementary
result, we also prove a general Malliavin product rule.
