CBOE NASDAQ-100 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
138.44%
decreased by 9.56%
1 Week
133.20%
decreased by 14.80%
1 Month
118.39%
decreased by 29.61%
Analysis last updated: Monday, October 26, 2026 at 11:40 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2001 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 | 2.1232 | 4.83*** |
| αARCH | 0.1637 | 5.70*** |
| βGARCH | 0.8505 | 51.29*** |
| γleverage | -0.1637 | -5.56*** |
0.932
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1232 | 4.83*** |
α ARCH Response to squared shocks | 0.1637 | 5.70*** |
β GARCH Volatility persistence | 0.8505 | 51.29*** |
γ leverage Additional response to negative shocks | -0.1637 | -5.56*** |
Persistence:
0.932
Half-life:
10 days
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