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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0075	11.86***
α ARCH Response to squared shocks	0.0320	14.78***
β GARCH Volatility persistence	0.9667	915.44***
γ leverage Additional response to negative shocks	-0.0024	-0.73

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S&P GSCI Lead Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses