V-Lab
CBOE Skew Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
37.58%
decreased by 1.54%
1 Week
37.94%
decreased by 1.18%
1 Month
39.29%
increased by 0.17%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 157 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
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High persistence: persistence 0.996, shock half-life ~157 daysInverse leverage: Positive returns increase volatility 165% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0781 | 3.30*** |
| αARCH | 0.1562 | 5.60*** |
| βGARCH | 0.8880 | 82.68*** |
| γleverage | -0.0972 | -2.45** |
0.996
Persistence157d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0781 | 3.30*** |
α ARCH Response to squared shocks | 0.1562 | 5.60*** |
β GARCH Volatility persistence | 0.8880 | 82.68*** |
γ leverage Additional response to negative shocks | -0.0972 | -2.45** |
Persistence:
0.996
Half-life:
157 days
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