CBOE S&P 500 One-Year Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
29.58%
decreased by 2.15%
1 Week
32.09%
increased by 0.36%
1 Month
37.15%
increased by 5.42%
Analysis last updated: Tuesday, July 21, 2026 at 12:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2007 to Jul 17, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6602 | 30.10*** |
α ARCH Response to squared shocks | 0.3583 | 11.93*** |
β GARCH Volatility persistence | 0.6978 | 99.99*** |
γ leverage Additional response to negative shocks | -0.2983 | -8.62*** |
Persistence:
0.907
Half-life:
7 days
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