S&P GSCI Industrial Metals Spot Index EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
18.66%
decreased by 0.20%
1 Week
18.72%
decreased by 0.14%
1 Month
18.96%
increased by 0.10%
Analysis last updated: Wednesday, July 15, 2026 at 11:04 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 0.993, volatility shocks have a half-life of 95 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0057 | 19.28*** |
α ARCH Response to squared shocks | 0.0968 | 37.40*** |
β GARCH Volatility persistence | 0.9927 | 2,172.28*** |
γ leverage Additional response to negative shocks | -0.0037 | -1.40 |
Persistence:
0.993
Half-life:
95 days
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