S&P GSCI Spot Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
25.05%
decreased by 0.94%
1 Week
25.08%
decreased by 0.91%
1 Month
25.19%
decreased by 0.80%
Analysis last updated: Tuesday, July 14, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 152 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0140 | 22.05*** |
α ARCH Response to squared shocks | 0.0766 | 40.87*** |
β GARCH Volatility persistence | 0.9188 | 543.68*** |
γ leverage Additional response to negative shocks | 0.0211 | 1.30 |
Persistence:
0.995
Half-life:
152 days
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