V-Lab
CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
103.64%
decreased by 3.47%
1 Week
107.67%
increased by 0.56%
1 Month
117.21%
increased by 10.10%
Analysis last updated: Friday, July 24, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Jul 17, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 8.98*** |
α ARCH Response to squared shocks | 0.1981 | 9.12*** |
β GARCH Volatility persistence | 0.8264 | 82.00*** |
γ leverage Additional response to negative shocks | -0.1981 | -8.11*** |
Persistence:
0.925
Half-life:
9 days
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