V-Lab
S&P GSCI Heating Oil Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 12th, 2026
1 Day
49.92%
decreased by 1.93%
1 Week
49.71%
decreased by 2.14%
1 Month
48.92%
decreased by 2.93%
Analysis last updated: Tuesday, August 11, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0486 | 23.38*** |
α ARCH Response to squared shocks | 0.0690 | 18.31*** |
β GARCH Volatility persistence | 0.9197 | 469.24*** |
γ leverage Additional response to negative shocks | 0.0044 | 0.77 |
Persistence:
0.991
Half-life:
76 days
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