CBOE 3-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
63.72%
increased by 2.57%
1 Week
65.68%
increased by 4.53%
1 Month
69.68%
increased by 8.53%
Analysis last updated: Friday, July 17, 2026 at 11:32 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2006 to Jul 10, 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 | 2.2287 | 20.72*** |
α ARCH Response to squared shocks | 0.2899 | 18.49*** |
β GARCH Volatility persistence | 0.7514 | 126.21*** |
γ leverage Additional response to negative shocks | -0.2899 | -18.74*** |
Persistence:
0.896
Half-life:
6 days
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