V-Lab
CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
109.61%
decreased by 4.64%
1 Week
112.67%
decreased by 1.58%
1 Month
120.02%
increased by 5.77%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Sep 4, 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 | 2.31** |
| αARCH | 0.2032 | 2.36** |
| βGARCH | 0.8240 | 20.61*** |
| γleverage | -0.2032 | -2.10** |
0.926
Persistence9d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.31** |
α ARCH Response to squared shocks | 0.2032 | 2.36** |
β GARCH Volatility persistence | 0.8240 | 20.61*** |
γ leverage Additional response to negative shocks | -0.2032 | -2.10** |
Persistence:
0.926
Half-life:
9 days
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