V-Lab
CBOE VIX Indicative Ask Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
92.40%
decreased by 3.25%
1 Week
96.63%
increased by 0.98%
1 Month
105.47%
increased by 9.82%
Analysis last updated: Monday, October 5, 2026 at 11:38 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 to Oct 2, 2026Boundary Parameters
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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 4.00*** |
| αARCH | 0.2172 | 3.65*** |
| βGARCH | 0.7954 | 33.10*** |
| γleverage | -0.2172 | -3.75*** |
0.904
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.00*** |
α ARCH Response to squared shocks | 0.2172 | 3.65*** |
β GARCH Volatility persistence | 0.7954 | 33.10*** |
γ leverage Additional response to negative shocks | -0.2172 | -3.75*** |
Persistence:
0.904
Half-life:
7 days
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