V-Lab
CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
81.70%
decreased by 2.47%
1 Week
82.85%
decreased by 1.32%
1 Month
85.92%
increased by 1.75%
Analysis last updated: Friday, August 21, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Aug 14, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9748 | 12.28*** |
α ARCH Response to squared shocks | 0.1370 | 15.34*** |
β GARCH Volatility persistence | 0.8720 | 166.98*** |
γ leverage Additional response to negative shocks | -0.1370 | -14.06*** |
Persistence:
0.940
Half-life:
11 days
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