V-Lab
BMO Equal Weight US BKS Indx GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
19.22%
decreased by 0.69%
1 Week
20.52%
increased by 0.61%
1 Month
23.28%
increased by 3.37%
Analysis last updated: Tuesday, July 28, 2026 at 09:25 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Jul 24, 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 | 0.2381 | 20.01*** |
α ARCH Response to squared shocks | 0.0361 | 8.09*** |
β GARCH Volatility persistence | 0.7804 | 116.92*** |
γ leverage Additional response to negative shocks | 0.1940 | 10.66*** |
Persistence:
0.914
Half-life:
8 days
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