S&P GSCI Industrial Metals Spot Index AGARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
19.38%
decreased by 0.39%
1 Week
19.38%
decreased by 0.39%
1 Month
19.39%
decreased by 0.38%
Analysis last updated: Friday, July 10, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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