V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
96.56%
increased by 20.79%
1 Week
94.27%
increased by 18.50%
1 Month
89.72%
increased by 13.95%
Analysis last updated: Friday, August 21, 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 Aug 14, 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 | 3.6286 | 18.60*** |
α ARCH Response to squared shocks | 0.1740 | 13.77*** |
β GARCH Volatility persistence | 0.7884 | 111.29*** |
γ leverage Additional response to negative shocks | -0.1740 | -13.46*** |
Persistence:
0.875
Half-life:
5 days
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