CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
84.71%
decreased by 9.13%
1 Week
82.72%
decreased by 11.12%
1 Month
78.30%
decreased by 15.54%
Analysis last updated: Wednesday, October 21, 2026 at 01:45 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2006 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 | 2.2001 | 5.18*** |
| αARCH | 0.2906 | 4.68*** |
| βGARCH | 0.7518 | 31.78*** |
| γleverage | -0.2906 | -4.74*** |
0.897
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2001 | 5.18*** |
α ARCH Response to squared shocks | 0.2906 | 4.68*** |
β GARCH Volatility persistence | 0.7518 | 31.78*** |
γ leverage Additional response to negative shocks | -0.2906 | -4.74*** |
Persistence:
0.897
Half-life:
6 days
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