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V-Lab

BMO Equal Weight US BKS Indx GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

28.41%

decreased by 2.47%

1 Week

28.08%

decreased by 2.80%

1 Month

27.29%

decreased by 3.59%

Analysis last updated: Saturday, August 22, 2026 at 01:59 PM UTC

Date Range:

from

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 Aug 21, 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

0.2364
19.90***
α

ARCH

Response to squared shocks

0.0351
7.94***
β

GARCH

Volatility persistence

0.7831
117.67***
γ

leverage

Additional response to negative shocks

0.1910
10.58***

Persistence:

0.914

Half-life:

8 days