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V-Lab

S&P GSCI Industrial Metals Spot Index AGARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

18.26%

decreased by 0.33%

1 Week

18.27%

decreased by 0.32%

1 Month

18.35%

decreased by 0.24%

Analysis last updated: Wednesday, July 15, 2026 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Industrial Metals Spot Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model Insight

With persistence 0.992, volatility shocks have a half-life of 92 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: negative returns raise volatility more

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0112
16.23***
α

ARCH

Response to squared shocks

0.0489
37.62***
β

GARCH

Volatility persistence

0.9436
621.60***
γ

leverage

Additional response to negative shocks

0.0502
2.50**

Persistence:

0.992

Half-life:

92 days