V-Lab
Global X S&P 500 Christin VL GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
12.59%
decreased by 0.15%
1 Week
12.91%
increased by 0.17%
1 Month
13.47%
increased by 0.73%
Analysis last updated: Monday, August 10, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 24, 2025 to Aug 7, 2026Model Insight
Volatility shocks decay with a half-life of 5 trading days, meaning a shock loses half its impact after approximately 5 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1059 | 2.44** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8079 | 13.52*** |
γ leverage Additional response to negative shocks | 0.1071 | 3.54*** |
Persistence:
0.861
Half-life:
5 days
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