V-Lab
CBOE Apple Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
85.71%
decreased by 0.98%
1 Week
90.36%
increased by 3.67%
1 Month
99.34%
increased by 12.65%
Analysis last updated: Friday, August 7, 2026 at 11:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Jul 31, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 11.98*** |
α ARCH Response to squared shocks | 0.1618 | 11.79*** |
β GARCH Volatility persistence | 0.8098 | 87.44*** |
γ leverage Additional response to negative shocks | -0.1618 | -11.53*** |
Persistence:
0.891
Half-life:
6 days
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