CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
95.36%
decreased by 6.53%
1 Week
93.31%
decreased by 8.58%
1 Month
89.26%
decreased by 12.63%
Analysis last updated: Wednesday, October 21, 2026 at 01:34 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Oct 16, 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 | 3.6539 | 4.67*** |
| αARCH | 0.1746 | 3.46*** |
| βGARCH | 0.7873 | 27.70*** |
| γleverage | -0.1746 | -3.38*** |
0.875
Persistence5d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6539 | 4.67*** |
α ARCH Response to squared shocks | 0.1746 | 3.46*** |
β GARCH Volatility persistence | 0.7873 | 27.70*** |
γ leverage Additional response to negative shocks | -0.1746 | -3.38*** |
Persistence:
0.875
Half-life:
5 days
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