V-Lab
FTSE 100 Implied Volatility Index 30 Days GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
97.57%
decreased by 4.39%
1 Week
99.31%
decreased by 2.65%
1 Month
102.76%
increased by 0.80%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Aug 27, 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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 3.51*** |
| αARCH | 0.1746 | 3.76*** |
| βGARCH | 0.7891 | 27.05*** |
| γleverage | -0.1520 | -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 | 0.1746 | 3.76*** |
β GARCH Volatility persistence | 0.7891 | 27.05*** |
γ leverage Additional response to negative shocks | -0.1520 | -2.52** |
Persistence:
0.888
Half-life:
6 days
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