CBOE Apple Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, November 5th, 2026
1 Day
103.74%
decreased by 4.84%
1 Week
104.37%
decreased by 4.21%
1 Month
105.68%
decreased by 2.90%
Analysis last updated: Thursday, November 5, 2026 at 12:31 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 30, 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 | 3.10*** |
| αARCH | 0.1678 | 3.03*** |
| βGARCH | 0.8059 | 21.88*** |
| γleverage | -0.1678 | -2.97*** |
0.890
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.10*** |
α ARCH Response to squared shocks | 0.1678 | 3.03*** |
β GARCH Volatility persistence | 0.8059 | 21.88*** |
γ leverage Additional response to negative shocks | -0.1678 | -2.97*** |
Persistence:
0.890
Half-life:
6 days
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