V-Lab
S&P GSCI Grains Spot Index APARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
22.91%
1 Week
22.90%
1 Month
22.88%
Analysis last updated: Tuesday, September 8, 2026 at 11:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 8, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.72 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 39% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0166 | 5.10*** |
| αARCH | 0.0601 | 9.06*** |
| βGARCH | 0.9359 | 158.16*** |
| γleverage | -0.0957 | -2.24** |
| δpower | 1.7170 | 9.00*** |
0.991
Persistence76d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0166 | 5.10*** |
α ARCH Response to squared shocks | 0.0601 | 9.06*** |
β GARCH Volatility persistence | 0.9359 | 158.16*** |
γ leverage Additional response to negative shocks | -0.0957 | -2.24** |
δ power Transformation power | 1.7170 | 9.00*** |
Persistence:
0.991
Half-life:
76 days
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