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V-Lab

BMO Equal Weight US BKS Indx GJR-GARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

22.94%

increased by 1.23%

1 Week

23.50%

increased by 1.79%

1 Month

24.79%

increased by 3.08%

Analysis last updated: Friday, August 7, 2026 at 09:09 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of BMO Equal Weight US BKS Indx GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 17, 2014 to Jul 31, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2366
19.94***
α

ARCH

Response to squared shocks

0.0359
8.07***
β

GARCH

Volatility persistence

0.7819
117.41***
γ

leverage

Additional response to negative shocks

0.1922
10.60***

Persistence:

0.914

Half-life:

8 days