V-Lab
S&P GSCI Aluminum Spot Index MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
18.32%
1 Week
18.56%
1 Month
18.90%
Analysis last updated: Monday, August 24, 2026 at 11:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 1991 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 34% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0495 | 27.97*** |
β GARCH Volatility persistence | 0.9165 | 334.38*** |
γ leverage Additional response to negative shocks | -0.0126 | -5.60*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2025 | 7.61*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.8702 | 11.69*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.960
Half-life:
17 days
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