CBOE Apple Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
84.73%
decreased by 0.93%
1 Week
89.56%
increased by 3.90%
1 Month
98.80%
increased by 13.14%
Analysis last updated: Wednesday, October 14, 2026 at 11:31 AM 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 9, 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 | 3.08*** |
| αARCH | 0.1665 | 3.01*** |
| βGARCH | 0.8067 | 21.89*** |
| γleverage | -0.1665 | -2.95*** |
0.890
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.08*** |
α ARCH Response to squared shocks | 0.1665 | 3.01*** |
β GARCH Volatility persistence | 0.8067 | 21.89*** |
γ leverage Additional response to negative shocks | -0.1665 | -2.95*** |
Persistence:
0.890
Half-life:
6 days
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