CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
67.79%
decreased by 0.74%
1 Week
70.87%
increased by 2.34%
1 Month
78.69%
increased by 10.16%
Analysis last updated: Thursday, July 16, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Jul 10, 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 | 1.9962 | 12.28*** |
α ARCH Response to squared shocks | 0.1371 | 15.28*** |
β GARCH Volatility persistence | 0.8713 | 165.62*** |
γ leverage Additional response to negative shocks | -0.1371 | -14.00*** |
Persistence:
0.940
Half-life:
11 days
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