V-Lab
CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
73.44%
decreased by 1.48%
1 Week
75.59%
increased by 0.67%
1 Month
81.23%
increased by 6.31%
Analysis last updated: Thursday, October 1, 2026 at 11:35 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 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
Tap to view equation
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9258 | 3.04*** |
| αARCH | 0.1341 | 3.82*** |
| βGARCH | 0.8744 | 42.44*** |
| γleverage | -0.1341 | -3.50*** |
0.941
Persistence11d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9258 | 3.04*** |
α ARCH Response to squared shocks | 0.1341 | 3.82*** |
β GARCH Volatility persistence | 0.8744 | 42.44*** |
γ leverage Additional response to negative shocks | -0.1341 | -3.50*** |
Persistence:
0.941
Half-life:
11 days
Other CBOE Goldman Sachs Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices