V-Lab
S&P GSCI All Crude Spot Index APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
42.71%
1 Week
42.71%
1 Month
42.68%
Analysis last updated: Saturday, September 12, 2026 at 12:59 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.64 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 54% more than positive returns
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0415 | 5.21*** |
| αARCH | 0.0824 | 8.31*** |
| βGARCH | 0.9176 | 104.47*** |
| γleverage | 0.1311 | 1.97** |
| δpower | 1.6409 | 9.82*** |
0.992
Persistence83d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0415 | 5.21*** |
α ARCH Response to squared shocks | 0.0824 | 8.31*** |
β GARCH Volatility persistence | 0.9176 | 104.47*** |
γ leverage Additional response to negative shocks | 0.1311 | 1.97** |
δ power Transformation power | 1.6409 | 9.82*** |
Persistence:
0.992
Half-life:
83 days
Other S&P GSCI All Crude Spot Index Analyses
Other APARCH Analyses on Commodities