S&P GSCI Feeder Cattle Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
17.97%
increased by 1.61%
1 Week
17.93%
increased by 1.57%
1 Month
17.76%
increased by 1.40%
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 7, 2002 to Jul 10, 2026Model Insight
The news-impact curve is shifted (γ = 0.42) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0123 | 11.36*** |
α ARCH Response to squared shocks | 0.0553 | 35.44*** |
β GARCH Volatility persistence | 0.9249 | 469.02*** |
γ leverage Additional response to negative shocks | 0.4184 | 21.15*** |
Persistence:
0.980
Half-life:
35 days
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