S&P GSCI Precious Metals Spot Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
20.58%
increased by 1.53%
1 Week
20.60%
increased by 1.55%
1 Month
20.68%
increased by 1.63%
Analysis last updated: Friday, October 30, 2026 at 11:06 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 30, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 688 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 138% more than negative returns
σ
GJR-GARCH Model
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High persistence: persistence 0.999, shock half-life ~688 daysInverse leverage: Positive returns increase volatility 138% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0033 | 2.62*** |
| αARCH | 0.0539 | 4.19*** |
| βGARCH | 0.9607 | 124.04*** |
| γleverage | -0.0313 | -2.16** |
0.999
Persistence688d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0033 | 2.62*** |
α ARCH Response to squared shocks | 0.0539 | 4.19*** |
β GARCH Volatility persistence | 0.9607 | 124.04*** |
γ leverage Additional response to negative shocks | -0.0313 | -2.16** |
Persistence:
0.999
Half-life:
688 days
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