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V-Lab

S&P GSCI All Cattle Spot Index AGARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

16.77%

decreased by 0.14%

1 Week

16.74%

decreased by 0.17%

1 Month

16.66%

decreased by 0.25%

Analysis last updated: Wednesday, July 15, 2026 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI All Cattle Spot Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 7, 2002 to Jul 10, 2026

Model Insight

The news-impact curve is shifted (γ = 0.52) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0024
2.52**
α

ARCH

Response to squared shocks

0.0439
31.74***
β

GARCH

Volatility persistence

0.9421
580.12***
γ

leverage

Additional response to negative shocks

0.5158
21.66***

Persistence:

0.986

Half-life:

49 days