V-Lab
CBOE VIX Indicative Bid Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
102.35%
decreased by 3.29%
1 Week
105.19%
decreased by 0.45%
1 Month
111.49%
increased by 5.85%
Analysis last updated: Thursday, October 1, 2026 at 11:34 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 Sep 25, 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 | 0.1966 | 4.14*** |
| βGARCH | 0.8122 | 37.74*** |
| γleverage | -0.1966 | -3.74*** |
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 | 0.1966 | 4.14*** |
β GARCH Volatility persistence | 0.8122 | 37.74*** |
γ leverage Additional response to negative shocks | -0.1966 | -3.74*** |
Persistence:
0.911
Half-life:
7 days
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