V-Lab
CBOE S&P 500 6-Month Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
35.98%
decreased by 1.33%
1 Week
38.77%
increased by 1.46%
1 Month
44.84%
increased by 7.53%
Analysis last updated: Monday, September 21, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Sep 18, 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 | 0.8646 | 4.75*** |
| αARCH | 0.2918 | 4.76*** |
| βGARCH | 0.7733 | 32.43*** |
| γleverage | -0.2918 | -4.70*** |
0.919
Persistence8d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8646 | 4.75*** |
α ARCH Response to squared shocks | 0.2918 | 4.76*** |
β GARCH Volatility persistence | 0.7733 | 32.43*** |
γ leverage Additional response to negative shocks | -0.2918 | -4.70*** |
Persistence:
0.919
Half-life:
8 days
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