CBOE S&P 500 One-Year Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
35.43%
decreased by 3.77%
1 Week
36.65%
decreased by 2.55%
1 Month
39.35%
increased by 0.15%
Analysis last updated: Wednesday, October 21, 2026 at 01:44 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 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 | 0.6359 | 7.45*** |
| αARCH | 0.3615 | 3.01*** |
| βGARCH | 0.7001 | 25.62*** |
| γleverage | -0.3016 | -2.19** |
0.911
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6359 | 7.45*** |
α ARCH Response to squared shocks | 0.3615 | 3.01*** |
β GARCH Volatility persistence | 0.7001 | 25.62*** |
γ leverage Additional response to negative shocks | -0.3016 | -2.19** |
Persistence:
0.911
Half-life:
7 days
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