V-Lab
CBOE China ETF Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
99.08%
1 Week
97.61%
1 Month
93.54%
Analysis last updated: Wednesday, September 2, 2026 at 03:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model 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 | 1.8754 | 3.01*** |
| αARCH | 0.1822 | 3.25*** |
| βGARCH | 0.8285 | 21.21*** |
| γleverage | -0.1493 | -2.31** |
0.936
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8754 | 3.01*** |
α ARCH Response to squared shocks | 0.1822 | 3.25*** |
β GARCH Volatility persistence | 0.8285 | 21.21*** |
γ leverage Additional response to negative shocks | -0.1493 | -2.31** |
Persistence:
0.936
Half-life:
10 days
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