COMEX Silver GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
32.88%
increased by 1.03%
1 Week
32.95%
increased by 1.10%
1 Month
33.22%
increased by 1.37%
Analysis last updated: Saturday, October 10, 2026 at 04:05 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 9, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 240 trading days (~1.0 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 0.997, shock half-life ~240 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0216 | 3.54*** |
| αARCH | 0.0626 | 4.23*** |
| βGARCH | 0.9486 | 120.12*** |
| γleverage | -0.0281 | -1.46 |
0.997
Persistence240d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0216 | 3.54*** |
α ARCH Response to squared shocks | 0.0626 | 4.23*** |
β GARCH Volatility persistence | 0.9486 | 120.12*** |
γ leverage Additional response to negative shocks | -0.0281 | -1.46 |
Persistence:
0.997
Half-life:
240 days
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