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V-Lab

S&P GSCI Aluminum Spot Index GJR-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

17.42%

decreased by 0.38%

1 Week

17.51%

decreased by 0.29%

1 Month

17.83%

increased by 0.03%

Analysis last updated: Monday, August 24, 2026 at 11:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of S&P GSCI Aluminum Spot Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 7, 1991 to Aug 21, 2026

Model Insight

Volatility shocks decay with a half-life of 48 trading days, meaning a shock loses half its impact after approximately 48 days.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0236
17.18***
α

ARCH

Response to squared shocks

0.0537
18.10***
β

GARCH

Volatility persistence

0.9327
417.69***
γ

leverage

Additional response to negative shocks

-0.0015
-0.36

Persistence:

0.986

Half-life:

48 days