S&P GSCI Light Energy Spot Index GARCH Volatility Analysis
Volatility prediction for Tuesday, November 3rd, 2026
1 Day
10.02%
increased by 1.48%
1 Week
10.08%
increased by 1.54%
1 Month
10.31%
increased by 1.77%
Analysis last updated: Tuesday, November 3, 2026 at 12:06 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 30, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 198 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
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High persistence: persistence 0.996, shock half-life ~198 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0038 | 4.20*** |
| αARCH | 0.0546 | 9.59*** |
| βGARCH | 0.9419 | 166.82*** |
0.996
Persistence198d
Half-lifeσ
GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0038 | 4.20*** |
α ARCH Response to squared shocks | 0.0546 | 9.59*** |
β GARCH Volatility persistence | 0.9419 | 166.82*** |
Persistence:
0.996
Half-life:
198 days
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