V-Lab
CBOE Skew Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
31.83%
decreased by 0.74%
1 Week
32.30%
decreased by 0.27%
1 Month
34.06%
increased by 1.49%
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, 1990 to Sep 25, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 154 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 165% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
High persistence: persistence 0.996, shock half-life ~154 daysInverse leverage: Positive returns increase volatility 165% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0780 | 3.30*** |
| αARCH | 0.1558 | 5.61*** |
| βGARCH | 0.8883 | 82.87*** |
| γleverage | -0.0970 | -2.45** |
0.996
Persistence154d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0780 | 3.30*** |
α ARCH Response to squared shocks | 0.1558 | 5.61*** |
β GARCH Volatility persistence | 0.8883 | 82.87*** |
γ leverage Additional response to negative shocks | -0.0970 | -2.45** |
Persistence:
0.996
Half-life:
154 days
Other CBOE Skew Index Analyses
Other GJR-GARCH Analyses on Volatility Indices