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V-Lab

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

Volatility prediction for Tuesday, July 28th, 2026

1 Day

62.01%

increased by 11.42%

1 Week

61.69%

increased by 11.10%

1 Month

60.46%

increased by 9.87%

Analysis last updated: Monday, July 27, 2026 at 11:03 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 Jul 24, 2026

Model Insight

With persistence 0.991, volatility shocks have a half-life of 74 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 48% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0619
24.52***
α

ARCH

Response to squared shocks

0.0664
16.10***
β

GARCH

Volatility persistence

0.9084
435.67***
γ

leverage

Additional response to negative shocks

0.0318
4.67***

Persistence:

0.991

Half-life:

74 days