SPDR Gold Shares GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
19.79%
decreased by 0.51%
1 Week
19.78%
decreased by 0.52%
1 Month
19.75%
decreased by 0.55%
Analysis last updated: Monday, October 19, 2026 at 09:44 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2004 to Oct 16, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
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High persistence: persistence 0.992, shock half-life ~82 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0124 | 3.11*** |
| αARCH | 0.0735 | 3.60*** |
| βGARCH | 0.9330 | 69.19*** |
| γleverage | -0.0299 | -0.95 |
0.992
Persistence82d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0124 | 3.11*** |
α ARCH Response to squared shocks | 0.0735 | 3.60*** |
β GARCH Volatility persistence | 0.9330 | 69.19*** |
γ leverage Additional response to negative shocks | -0.0299 | -0.95 |
Persistence:
0.992
Half-life:
82 days
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