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V-Lab

S&P GSCI Crude Oil Index GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

43.79%

decreased by 1.96%

1 Week

43.73%

decreased by 2.02%

1 Month

43.54%

decreased by 2.21%

Analysis last updated: Friday, August 21, 2026 at 11:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of S&P GSCI Crude Oil Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 21, 2026

Model Insight

With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 47% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0625
24.65***
α

ARCH

Response to squared shocks

0.0669
16.17***
β

GARCH

Volatility persistence

0.9080
434.23***
γ

leverage

Additional response to negative shocks

0.0314
4.59***

Persistence:

0.991

Half-life:

73 days