S&P GSCI Zinc Index APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
21.50%
1 Week
21.56%
1 Month
21.78%
Analysis last updated: Friday, October 16, 2026 at 11:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 1991 to Oct 16, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 202 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.63 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 70% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0091 | 3.40*** |
| αARCH | 0.0344 | 4.16*** |
| βGARCH | 0.9656 | 135.85*** |
| γleverage | -0.1610 | -2.00** |
| δpower | 1.6306 | 5.62*** |
0.997
Persistence202d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0091 | 3.40*** |
α ARCH Response to squared shocks | 0.0344 | 4.16*** |
β GARCH Volatility persistence | 0.9656 | 135.85*** |
γ leverage Additional response to negative shocks | -0.1610 | -2.00** |
δ power Transformation power | 1.6306 | 5.62*** |
Persistence:
0.997
Half-life:
202 days
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