V-Lab
S&P GSCI Natural Gas Index APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
33.27%
1 Week
33.82%
1 Month
35.84%
Analysis last updated: Saturday, September 12, 2026 at 12:54 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 1994 to Sep 11, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 74 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.71 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 62% more than negative returns
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0839 | 3.32*** |
| αARCH | 0.0769 | 10.25*** |
| βGARCH | 0.9199 | 130.99*** |
| γleverage | -0.1403 | -3.36*** |
| δpower | 1.7085 | 8.48*** |
0.991
Persistence74d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0839 | 3.32*** |
α ARCH Response to squared shocks | 0.0769 | 10.25*** |
β GARCH Volatility persistence | 0.9199 | 130.99*** |
γ leverage Additional response to negative shocks | -0.1403 | -3.36*** |
δ power Transformation power | 1.7085 | 8.48*** |
Persistence:
0.991
Half-life:
74 days
Other S&P GSCI Natural Gas Index Analyses
Other APARCH Analyses on Commodities