V-Lab
CBOE Russell 2000 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
80.97%
decreased by 3.44%
1 Week
82.03%
decreased by 2.38%
1 Month
84.01%
decreased by 0.40%
Analysis last updated: Thursday, October 1, 2026 at 11:30 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Sep 25, 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
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.6397 | 4.66*** |
| αARCH | 0.1742 | 3.45*** |
| βGARCH | 0.7879 | 27.79*** |
| γleverage | -0.1742 | -3.37*** |
0.875
Persistence5d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6397 | 4.66*** |
α ARCH Response to squared shocks | 0.1742 | 3.45*** |
β GARCH Volatility persistence | 0.7879 | 27.79*** |
γ leverage Additional response to negative shocks | -0.1742 | -3.37*** |
Persistence:
0.875
Half-life:
5 days
Other CBOE Russell 2000 Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices