FTSE 100 Implied Volatility Index 30 Days GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
111.98%
decreased by 6.20%
1 Week
110.82%
decreased by 7.36%
1 Month
108.40%
decreased by 9.78%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Apr 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 13.86*** |
α ARCH Response to squared shocks | 0.1724 | 14.79*** |
β GARCH Volatility persistence | 0.7908 | 107.45*** |
γ leverage Additional response to negative shocks | -0.1505 | -9.86*** |
Persistence:
0.888
Half-life:
6 days
Other FTSE 100 Implied Volatility Index 30 Days Analyses
Other GJR-GARCH Analyses on Volatility Indices