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V-Lab

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

Volatility prediction for Wednesday, August 12th, 2026

1 Day

18.16%

decreased by 0.17%

1 Week

18.22%

decreased by 0.11%

1 Month

18.46%

increased by 0.13%

Analysis last updated: Tuesday, August 11, 2026 at 11:03 PM UTC

Date Range:

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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 7, 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
17.17***
α

ARCH

Response to squared shocks

0.0538
18.00***
β

GARCH

Volatility persistence

0.9326
415.39***
γ

leverage

Additional response to negative shocks

-0.0014
-0.34

Persistence:

0.986

Half-life:

48 days