S&P GSCI Crude Oil Index Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
36.78%
1 Week
35.58%
1 Month
31.87%
Analysis last updated: Friday, October 16, 2026 at 11:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 10, 2010 to Oct 16, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 30% more than equivalent positive returns. The volatility power δ = 1.28 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0544 | 4.01*** |
| αARCH | 0.2123 | 10.89*** |
| βGARCH | 0.7846 | 41.48*** |
| γleverage | 0.1036 | 3.04*** |
| δpower | 1.2797 | 5.54*** |
0.960
Persistence17d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0544 | 4.01*** |
α ARCH Response to squared shocks | 0.2123 | 10.89*** |
β GARCH Volatility persistence | 0.7846 | 41.48*** |
γ leverage Additional response to negative shocks | 0.1036 | 3.04*** |
δ power Transformation power | 1.2797 | 5.54*** |
Persistence:
0.960
Half-life:
17 days
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