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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Jul 31, 2026Model 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
| Parameter | Value | t-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
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