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V-Lab

CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 24th, 2026

1 Day

68.92%

decreased by 0.48%

1 Week

71.85%

increased by 2.45%

1 Month

79.30%

increased by 9.90%

Analysis last updated: Friday, July 24, 2026 at 11:37 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of CBOE Goldman Sachs Volatility Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 7, 2011 to Jul 17, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.0056
12.32***
α

ARCH

Response to squared shocks

0.1373
15.28***
β

GARCH

Volatility persistence

0.8710
165.18***
γ

leverage

Additional response to negative shocks

-0.1373
-13.99***

Persistence:

0.940

Half-life:

11 days