S&P GSCI Lead Spot Index EGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
13.92%
increased by 0.01%
1 Week
14.02%
increased by 0.11%
1 Month
14.44%
increased by 0.53%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 6, 1995 to Jul 17, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 189 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 16% more than negative returns
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0065 | 16.25*** |
α ARCH Response to squared shocks | 0.0746 | 30.66*** |
β GARCH Volatility persistence | 0.9963 | 3,277.40*** |
γ leverage Additional response to negative shocks | 0.0055 | 2.02** |
Persistence:
0.996
Half-life:
189 days
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