V-Lab
FTSE 100 Implied Volatility Index 30 Days GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
100.72%
increased by 1.37%
1 Week
101.78%
increased by 2.43%
1 Month
103.92%
increased by 4.57%
Analysis last updated: Friday, September 25, 2026 at 09:05 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Sep 24, 2026Boundary Parameters
Model 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
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 3.51*** |
| αARCH | 0.1738 | 3.75*** |
| βGARCH | 0.7895 | 27.05*** |
| γleverage | -0.1514 | -2.52** |
0.888
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.51*** |
α ARCH Response to squared shocks | 0.1738 | 3.75*** |
β GARCH Volatility persistence | 0.7895 | 27.05*** |
γ leverage Additional response to negative shocks | -0.1514 | -2.52** |
Persistence:
0.888
Half-life:
6 days
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