CBOE Goldman Sachs Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
66.61%
decreased by 0.65%
1 Week
69.69%
increased by 2.43%
1 Month
77.59%
increased by 10.33%
Analysis last updated: Wednesday, October 21, 2026 at 01:50 PM 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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