CBOE VIX Indicative Bid Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
141.84%
decreased by 10.58%
1 Week
138.32%
decreased by 14.10%
1 Month
129.81%
decreased by 22.61%
Analysis last updated: Wednesday, October 21, 2026 at 01:47 PM 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 16, 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 | 5.0000 | 4.33*** |
| αARCH | 0.1974 | 4.16*** |
| βGARCH | 0.8119 | 37.73*** |
| γleverage | -0.1974 | -3.76*** |
0.911
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.33*** |
α ARCH Response to squared shocks | 0.1974 | 4.16*** |
β GARCH Volatility persistence | 0.8119 | 37.73*** |
γ leverage Additional response to negative shocks | -0.1974 | -3.76*** |
Persistence:
0.911
Half-life:
7 days
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