V-Lab
CBOE S&P 500 One-Year Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
24.10%
decreased by 0.38%
1 Week
27.92%
increased by 3.44%
1 Month
35.20%
increased by 10.72%
Analysis last updated: Tuesday, October 6, 2026 at 03:12 PM 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 Oct 2, 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 | 0.6396 | 7.45*** |
| αARCH | 0.3604 | 3.01*** |
| βGARCH | 0.6999 | 25.51*** |
| γleverage | -0.3008 | -2.19** |
0.910
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6396 | 7.45*** |
α ARCH Response to squared shocks | 0.3604 | 3.01*** |
β GARCH Volatility persistence | 0.6999 | 25.51*** |
γ leverage Additional response to negative shocks | -0.3008 | -2.19** |
Persistence:
0.910
Half-life:
7 days
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