CBOE NASDAQ-100 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
82.36%
increased by 12.36%
1 Week
83.20%
increased by 13.20%
1 Month
85.35%
increased by 15.35%
Analysis last updated: Thursday, October 15, 2026 at 11:36 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 9, 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 | 2.1031 | 4.81*** |
| αARCH | 0.1629 | 5.68*** |
| βGARCH | 0.8513 | 51.49*** |
| γleverage | -0.1629 | -5.55*** |
0.933
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1031 | 4.81*** |
α ARCH Response to squared shocks | 0.1629 | 5.68*** |
β GARCH Volatility persistence | 0.8513 | 51.49*** |
γ leverage Additional response to negative shocks | -0.1629 | -5.55*** |
Persistence:
0.933
Half-life:
10 days
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