V-Lab
S&P GSCI Energy and Metals Spot Index EGARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
37.12%
increased by 1.03%
1 Week
36.96%
increased by 0.87%
1 Month
36.39%
increased by 0.30%
Analysis last updated: Monday, August 10, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 6, 1995 to Aug 7, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 47% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0211 | 16.09*** |
α ARCH Response to squared shocks | 0.1434 | 30.39*** |
β GARCH Volatility persistence | 0.9850 | 1,154.76*** |
γ leverage Additional response to negative shocks | -0.0273 | -7.33*** |
Persistence:
0.985
Half-life:
46 days
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