CBOE DJIA Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
80.05%
decreased by 0.87%
1 Week
83.77%
increased by 2.85%
1 Month
93.58%
increased by 12.66%
Analysis last updated: Friday, October 16, 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
Oct 6, 1997 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 | 2.6393 | 4.48*** |
| αARCH | 0.1722 | 4.49*** |
| βGARCH | 0.8464 | 35.14*** |
| γleverage | -0.1443 | -2.54** |
0.946
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6393 | 4.48*** |
α ARCH Response to squared shocks | 0.1722 | 4.49*** |
β GARCH Volatility persistence | 0.8464 | 35.14*** |
γ leverage Additional response to negative shocks | -0.1443 | -2.54** |
Persistence:
0.946
Half-life:
13 days
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