V-Lab
CBOE VIX Indicative Bid Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
114.12%
increased by 10.74%
1 Week
114.87%
increased by 11.49%
1 Month
116.60%
increased by 13.22%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 to Sep 4, 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 | 4.32*** |
| αARCH | 0.1963 | 4.12*** |
| βGARCH | 0.8124 | 37.74*** |
| γleverage | -0.1963 | -3.72*** |
0.911
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.32*** |
α ARCH Response to squared shocks | 0.1963 | 4.12*** |
β GARCH Volatility persistence | 0.8124 | 37.74*** |
γ leverage Additional response to negative shocks | -0.1963 | -3.72*** |
Persistence:
0.911
Half-life:
7 days
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