V-Lab
S&P GSCI Silver Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
37.19%
decreased by 0.31%
1 Week
37.20%
decreased by 0.30%
1 Month
37.23%
decreased by 0.27%
Analysis last updated: Saturday, September 19, 2026 at 12:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 269 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 110% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
High persistence: persistence 0.997, shock half-life ~269 daysInverse leverage: Positive returns increase volatility 110% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0154 | 3.42*** |
| αARCH | 0.0575 | 5.13*** |
| βGARCH | 0.9550 | 162.33*** |
| γleverage | -0.0302 | -2.01** |
0.997
Persistence269d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0154 | 3.42*** |
α ARCH Response to squared shocks | 0.0575 | 5.13*** |
β GARCH Volatility persistence | 0.9550 | 162.33*** |
γ leverage Additional response to negative shocks | -0.0302 | -2.01** |
Persistence:
0.997
Half-life:
269 days
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