S&P GSCI Silver Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
36.08%
increased by 3.07%
1 Week
36.10%
increased by 3.09%
1 Month
36.16%
increased by 3.15%
Analysis last updated: Friday, October 30, 2026 at 11:05 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 0.998, volatility shocks have a half-life of 286 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 108% more than negative returns
σ
GJR-GARCH Model
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High persistence: persistence 0.998, shock half-life ~286 daysInverse leverage: Positive returns increase volatility 108% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0150 | 3.40*** |
| αARCH | 0.0569 | 5.12*** |
| βGARCH | 0.9555 | 164.80*** |
| γleverage | -0.0296 | -1.99** |
0.998
Persistence286d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0150 | 3.40*** |
α ARCH Response to squared shocks | 0.0569 | 5.12*** |
β GARCH Volatility persistence | 0.9555 | 164.80*** |
γ leverage Additional response to negative shocks | -0.0296 | -1.99** |
Persistence:
0.998
Half-life:
286 days
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