CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
51.70%
increased by 2.46%
1 Week
56.34%
increased by 7.10%
1 Month
65.22%
increased by 15.98%
Analysis last updated: Friday, October 9, 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
Jul 17, 2006 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 | 2.1967 | 5.17*** |
| αARCH | 0.2893 | 4.66*** |
| βGARCH | 0.7524 | 31.77*** |
| γleverage | -0.2893 | -4.72*** |
0.897
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1967 | 5.17*** |
α ARCH Response to squared shocks | 0.2893 | 4.66*** |
β GARCH Volatility persistence | 0.7524 | 31.77*** |
γ leverage Additional response to negative shocks | -0.2893 | -4.72*** |
Persistence:
0.897
Half-life:
6 days
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