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V-Lab

S&P GSCI Industrial Metals Spot Index GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

13.31%

decreased by 0.14%

1 Week

13.41%

decreased by 0.04%

1 Month

13.80%

increased by 0.35%

Analysis last updated: Tuesday, August 25, 2026 at 11:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Industrial Metals Spot Index GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 21, 2026

Model Insight

With persistence 0.993, volatility shocks have a half-life of 99 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0104
14.67***
α

ARCH

Response to squared shocks

0.0463
34.87***
β

GARCH

Volatility persistence

0.9467
597.30***

Persistence:

0.993

Half-life:

99 days