S&P GSCI Zinc Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
24.41%
decreased by 0.31%
1 Week
24.42%
decreased by 0.30%
1 Month
24.49%
decreased by 0.23%
Analysis last updated: Tuesday, July 14, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 1991 to Jul 10, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 135 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: positive returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0068 | 6.28*** |
α ARCH Response to squared shocks | 0.0381 | 27.06*** |
β GARCH Volatility persistence | 0.9567 | 675.66*** |
γ leverage Additional response to negative shocks | -0.4251 | -12.70*** |
Persistence:
0.995
Half-life:
135 days
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