V-Lab
CBOE IBM Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
89.57%
decreased by 0.96%
1 Week
96.19%
increased by 5.66%
1 Month
111.13%
increased by 20.60%
Analysis last updated: Friday, August 21, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Aug 14, 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 | 9.06*** |
α ARCH Response to squared shocks | 0.2005 | 9.24*** |
β GARCH Volatility persistence | 0.8253 | 82.13*** |
γ leverage Additional response to negative shocks | -0.2005 | -8.22*** |
Persistence:
0.926
Half-life:
9 days
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