V-Lab
CBOE Apple Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
89.37%
decreased by 1.89%
1 Week
93.15%
increased by 1.89%
1 Month
100.53%
increased by 9.27%
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
Jan 7, 2011 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 | 3.05*** |
| αARCH | 0.1654 | 3.00*** |
| βGARCH | 0.8077 | 21.88*** |
| γleverage | -0.1654 | -2.93*** |
0.890
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.05*** |
α ARCH Response to squared shocks | 0.1654 | 3.00*** |
β GARCH Volatility persistence | 0.8077 | 21.88*** |
γ leverage Additional response to negative shocks | -0.1654 | -2.93*** |
Persistence:
0.890
Half-life:
6 days
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