CBOE Skew Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
46.10%
decreased by 2.43%
1 Week
46.32%
decreased by 2.21%
1 Month
47.15%
decreased by 1.38%
Analysis last updated: Wednesday, October 21, 2026 at 01:35 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 156 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 166% more than negative returns
σ
GJR-GARCH Model
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High persistence: persistence 0.996, shock half-life ~156 daysInverse leverage: Positive returns increase volatility 166% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0772 | 3.29*** |
| αARCH | 0.1548 | 5.62*** |
| βGARCH | 0.8891 | 83.68*** |
| γleverage | -0.0966 | -2.46** |
0.996
Persistence156d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0772 | 3.29*** |
α ARCH Response to squared shocks | 0.1548 | 5.62*** |
β GARCH Volatility persistence | 0.8891 | 83.68*** |
γ leverage Additional response to negative shocks | -0.0966 | -2.46** |
Persistence:
0.996
Half-life:
156 days
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