V-Lab
CBOE S&P 500 Spot Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
188.74%
decreased by 3.39%
1 Week
190.61%
decreased by 1.52%
1 Month
196.82%
increased by 4.69%
Analysis last updated: Monday, September 14, 2026 at 03:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2006 to Sep 11, 2026Boundary Parameters
Model 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 | 5.0000 | 2.36** |
| αARCH | 0.1387 | 6.00*** |
| βGARCH | 0.9000 | 48.11*** |
| γleverage | -0.1278 | -2.80*** |
0.975
Persistence27d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.36** |
α ARCH Response to squared shocks | 0.1387 | 6.00*** |
β GARCH Volatility persistence | 0.9000 | 48.11*** |
γ leverage Additional response to negative shocks | -0.1278 | -2.80*** |
Persistence:
0.975
Half-life:
27 days
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