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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Aug 21, 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 | 0.2364 | 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
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