V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
103.95%
increased by 10.62%
1 Week
100.20%
increased by 6.87%
1 Month
92.62%
decreased by 0.71%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Sep 4, 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 | 3.6313 | 4.65*** |
| αARCH | 0.1736 | 3.44*** |
| βGARCH | 0.7884 | 27.80*** |
| γleverage | -0.1736 | -3.36*** |
0.875
Persistence5d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6313 | 4.65*** |
α ARCH Response to squared shocks | 0.1736 | 3.44*** |
β GARCH Volatility persistence | 0.7884 | 27.80*** |
γ leverage Additional response to negative shocks | -0.1736 | -3.36*** |
Persistence:
0.875
Half-life:
5 days
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