CBOE Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
140.87%
decreased by 13.38%
1 Week
134.14%
decreased by 20.11%
1 Month
119.20%
decreased by 35.05%
Analysis last updated: Wednesday, October 21, 2026 at 01:43 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
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 | 4.7308 | 4.99*** |
| αARCH | 0.2076 | 5.01*** |
| βGARCH | 0.7839 | 36.25*** |
| γleverage | -0.2075 | -4.88*** |
0.888
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7308 | 4.99*** |
α ARCH Response to squared shocks | 0.2076 | 5.01*** |
β GARCH Volatility persistence | 0.7839 | 36.25*** |
γ leverage Additional response to negative shocks | -0.2075 | -4.88*** |
Persistence:
0.888
Half-life:
6 days
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