COMEX Gold GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
23.07%
decreased by 0.19%
1 Week
22.98%
decreased by 0.28%
1 Month
22.65%
decreased by 0.61%
Analysis last updated: Friday, July 17, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 76% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0136 | 11.88*** |
α ARCH Response to squared shocks | 0.0562 | 14.50*** |
β GARCH Volatility persistence | 0.9456 | 301.43*** |
γ leverage Additional response to negative shocks | -0.0243 | -4.70*** |
Persistence:
0.990
Half-life:
67 days
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