CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
87.38%
decreased by 0.54%
1 Week
94.37%
increased by 6.45%
1 Month
109.95%
increased by 22.03%
Analysis last updated: Friday, October 30, 2026 at 11:30 AM 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 23, 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 | 5.0000 | 2.32** |
| αARCH | 0.1999 | 2.34** |
| βGARCH | 0.8247 | 20.57*** |
| γleverage | -0.1999 | -2.08** |
0.925
Persistence9d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.32** |
α ARCH Response to squared shocks | 0.1999 | 2.34** |
β GARCH Volatility persistence | 0.8247 | 20.57*** |
γ leverage Additional response to negative shocks | -0.1999 | -2.08** |
Persistence:
0.925
Half-life:
9 days
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