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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2002 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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