COMEX Silver GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
33.30%
decreased by 0.02%
1 Week
33.37%
increased by 0.05%
1 Month
33.64%
increased by 0.32%
Analysis last updated: Friday, October 30, 2026 at 05:16 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 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 255 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 ~255 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0211 | 3.52*** |
| αARCH | 0.0620 | 4.22*** |
| βGARCH | 0.9492 | 121.75*** |
| γleverage | -0.0277 | -1.45 |
0.997
Persistence255d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0211 | 3.52*** |
α ARCH Response to squared shocks | 0.0620 | 4.22*** |
β GARCH Volatility persistence | 0.9492 | 121.75*** |
γ leverage Additional response to negative shocks | -0.0277 | -1.45 |
Persistence:
0.997
Half-life:
255 days
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