V-Lab
CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
106.44%
decreased by 1.92%
1 Week
109.97%
increased by 1.61%
1 Month
118.37%
increased by 10.01%
Analysis last updated: Friday, October 2, 2026 at 11:32 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 Sep 25, 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 | 0.2011 | 2.35** |
| βGARCH | 0.8245 | 20.63*** |
| γleverage | -0.2011 | -2.09** |
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 | 0.2011 | 2.35** |
β GARCH Volatility persistence | 0.8245 | 20.63*** |
γ leverage Additional response to negative shocks | -0.2011 | -2.09** |
Persistence:
0.925
Half-life:
9 days
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