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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Spot Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model 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

ParameterValuet-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