V-Lab
CBOE Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
94.43%
decreased by 3.66%
1 Week
96.20%
decreased by 1.89%
1 Month
99.72%
increased by 1.63%
Analysis last updated: Thursday, October 1, 2026 at 11:34 AM 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 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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.7055 | 4.98*** |
| αARCH | 0.2065 | 5.00*** |
| βGARCH | 0.7849 | 36.39*** |
| γleverage | -0.2065 | -4.87*** |
0.888
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7055 | 4.98*** |
α ARCH Response to squared shocks | 0.2065 | 5.00*** |
β GARCH Volatility persistence | 0.7849 | 36.39*** |
γ leverage Additional response to negative shocks | -0.2065 | -4.87*** |
Persistence:
0.888
Half-life:
6 days
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