S&P GSCI All Cattle Spot Index GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
14.19%
decreased by 0.16%
1 Week
14.22%
decreased by 0.13%
1 Month
14.32%
decreased by 0.03%
Analysis last updated: Friday, July 10, 2026 at 11:49 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
With persistence 0.990, volatility shocks have a half-life of 70 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0095 | 18.71*** |
α ARCH Response to squared shocks | 0.0465 | 31.72*** |
β GARCH Volatility persistence | 0.9436 | 578.91*** |
Persistence:
0.990
Half-life:
70 days
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