V-Lab
CBOE S&P 500 One-Year Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
24.53%
increased by 0.40%
1 Week
28.26%
increased by 4.13%
1 Month
35.35%
increased by 11.22%
Analysis last updated: Thursday, October 1, 2026 at 11:32 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2007 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 | 0.6438 | 7.47*** |
| αARCH | 0.3598 | 3.01*** |
| βGARCH | 0.6995 | 25.39*** |
| γleverage | -0.3003 | -2.18** |
0.909
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6438 | 7.47*** |
α ARCH Response to squared shocks | 0.3598 | 3.01*** |
β GARCH Volatility persistence | 0.6995 | 25.39*** |
γ leverage Additional response to negative shocks | -0.3003 | -2.18** |
Persistence:
0.909
Half-life:
7 days
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