S&P GSCI Natural Gas Index EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
39.70%
decreased by 1.25%
1 Week
40.09%
decreased by 0.86%
1 Month
41.54%
increased by 0.59%
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 7, 1994 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 42% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0359 | 18.38*** |
α ARCH Response to squared shocks | 0.1575 | 42.86*** |
β GARCH Volatility persistence | 0.9857 | 1,300.41*** |
γ leverage Additional response to negative shocks | 0.0274 | 8.80*** |
Persistence:
0.986
Half-life:
48 days
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