CBOE DJIA Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
256.41%
decreased by 20.19%
1 Week
245.64%
decreased by 30.96%
1 Month
212.04%
decreased by 64.56%
Analysis last updated: Monday, November 9, 2026 at 12:38 PM 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 Nov 6, 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 | 2.7006 | 4.51*** |
| αARCH | 0.1754 | 4.52*** |
| βGARCH | 0.8433 | 34.30*** |
| γleverage | -0.1450 | -2.52** |
0.946
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7006 | 4.51*** |
α ARCH Response to squared shocks | 0.1754 | 4.52*** |
β GARCH Volatility persistence | 0.8433 | 34.30*** |
γ leverage Additional response to negative shocks | -0.1450 | -2.52** |
Persistence:
0.946
Half-life:
13 days
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