CBOE S&P 500 9-Day Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
226.87%
decreased by 3.83%
1 Week
224.36%
decreased by 6.34%
1 Month
216.20%
decreased by 14.50%
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, 2011 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 | 5.0000 | 8.08*** |
α ARCH Response to squared shocks | 0.0568 | 11.63*** |
β GARCH Volatility persistence | 0.9357 | 234.93*** |
γ leverage Additional response to negative shocks | -0.0568 | -6.14*** |
Persistence:
0.964
Half-life:
19 days
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