V-Lab
CBOE NASDAQ-100 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
89.57%
increased by 0.93%
1 Week
89.48%
increased by 0.84%
1 Month
89.22%
increased by 0.58%
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 23, 2001 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 | 2.1043 | 4.80*** |
| αARCH | 0.1629 | 5.66*** |
| βGARCH | 0.8513 | 51.44*** |
| γleverage | -0.1629 | -5.52*** |
0.933
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1043 | 4.80*** |
α ARCH Response to squared shocks | 0.1629 | 5.66*** |
β GARCH Volatility persistence | 0.8513 | 51.44*** |
γ leverage Additional response to negative shocks | -0.1629 | -5.52*** |
Persistence:
0.933
Half-life:
10 days
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