CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
84.61%
increased by 18.57%
1 Week
85.32%
increased by 19.28%
1 Month
87.27%
increased by 21.23%
Analysis last updated: Friday, October 23, 2026 at 11:36 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 16, 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 | 1.9072 | 3.05*** |
| αARCH | 0.1347 | 3.85*** |
| βGARCH | 0.8745 | 42.61*** |
| γleverage | -0.1347 | -3.53*** |
0.942
Persistence12d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9072 | 3.05*** |
α ARCH Response to squared shocks | 0.1347 | 3.85*** |
β GARCH Volatility persistence | 0.8745 | 42.61*** |
γ leverage Additional response to negative shocks | -0.1347 | -3.53*** |
Persistence:
0.942
Half-life:
12 days
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