S&P GSCI Silver Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
32.90%
decreased by 0.22%
1 Week
32.93%
decreased by 0.19%
1 Month
33.06%
decreased by 0.06%
Analysis last updated: Wednesday, October 7, 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 2, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 266 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 111% more than negative returns
σ
GJR-GARCH Model
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High persistence: persistence 0.997, shock half-life ~266 daysInverse leverage: Positive returns increase volatility 111% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0154 | 3.42*** |
| αARCH | 0.0576 | 5.13*** |
| βGARCH | 0.9550 | 162.35*** |
| γleverage | -0.0302 | -2.02** |
0.997
Persistence266d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0154 | 3.42*** |
α ARCH Response to squared shocks | 0.0576 | 5.13*** |
β GARCH Volatility persistence | 0.9550 | 162.35*** |
γ leverage Additional response to negative shocks | -0.0302 | -2.02** |
Persistence:
0.997
Half-life:
266 days
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