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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1166	5.08***
α ARCH Response to squared shocks	0.0915	6.67***
β GARCH Volatility persistence	0.9174	139.03***
γ leverage Additional response to negative shocks	-0.0368	-1.87*

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S&P GSCI Natural Gas Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses