V-Lab
CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, August 17th, 2026):
1 Day
87.75%
1 Week
91.45%
1 Month
98.77%
Analysis last updated: Wednesday, September 2, 2026 at 06:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 5, 2012 to Aug 14, 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 | 4.7405 | 4.47*** |
| αARCH | 0.1499 | 3.39*** |
| βGARCH | 0.8112 | 25.96*** |
| γleverage | -0.1366 | -2.31** |
0.893
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7405 | 4.47*** |
α ARCH Response to squared shocks | 0.1499 | 3.39*** |
β GARCH Volatility persistence | 0.8112 | 25.96*** |
γ leverage Additional response to negative shocks | -0.1366 | -2.31** |
Persistence:
0.893
Half-life:
6 days
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