iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, August 17th, 2026):
1 Day
49.32%
1 Week
52.45%
1 Month
60.07%
Analysis last updated: Wednesday, September 2, 2026 at 06:27 PM UTC
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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: positive returns raise next-day volatility 256% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 256% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2870 | 5.31*** |
| αARCH | 0.2165 | 4.26*** |
| βGARCH | 0.7979 | 32.69*** |
| γleverage | -0.1556 | -2.49** |
0.937
Persistence11d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2870 | 5.31*** |
α ARCH Response to squared shocks | 0.2165 | 4.26*** |
β GARCH Volatility persistence | 0.7979 | 32.69*** |
γ leverage Additional response to negative shocks | -0.1556 | -2.49** |
Persistence:
0.937
Half-life:
11 days
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