V-Lab
CBOE DJIA Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
86.98%
decreased by 2.49%
1 Week
89.78%
increased by 0.31%
1 Month
97.32%
increased by 7.85%
Analysis last updated: Monday, September 28, 2026 at 11:39 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Sep 25, 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 | 2.6457 | 4.48*** |
| αARCH | 0.1721 | 4.48*** |
| βGARCH | 0.8465 | 35.09*** |
| γleverage | -0.1443 | -2.53** |
0.946
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6457 | 4.48*** |
α ARCH Response to squared shocks | 0.1721 | 4.48*** |
β GARCH Volatility persistence | 0.8465 | 35.09*** |
γ leverage Additional response to negative shocks | -0.1443 | -2.53** |
Persistence:
0.946
Half-life:
13 days
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