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V-Lab

CBOE VIX Indicative Ask Index GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 24th, 2026

1 Day

135.74%

increased by 21.34%

1 Week

132.34%

increased by 17.94%

1 Month

124.40%

increased by 10.00%

Analysis last updated: Friday, July 24, 2026 at 11:36 AM UTC

Date Range:

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to

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graph of CBOE VIX Indicative Ask Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 18, 2009 to Jul 17, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
15.90***
α

ARCH

Response to squared shocks

0.2165
14.44***
β

GARCH

Volatility persistence

0.7962
132.54***
γ

leverage

Additional response to negative shocks

-0.2165
-14.84***

Persistence:

0.904

Half-life:

7 days