V-Lab
CBOE EuroCurrency ETF Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, January 27th, 2025):
1 Day
225.01%
1 Week
220.25%
1 Month
203.35%
Analysis last updated: Monday, March 3, 2025 at 11:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 1, 2008 to Jan 24, 2025Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 109% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9018 | 9.52*** |
α ARCH Response to squared shocks | 0.1142 | 10.16*** |
β GARCH Volatility persistence | 0.8896 | 149.78*** |
γ leverage Additional response to negative shocks | -0.0594 | -4.49*** |
Persistence:
0.974
Half-life:
26 days
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