S&P GSCI Precious Metals Spot Index AGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
26.47%
decreased by 0.58%
1 Week
26.41%
decreased by 0.64%
1 Month
26.20%
decreased by 0.85%
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 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 182 trading days (~0.7 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 | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0385 | 19.72*** |
β GARCH Volatility persistence | 0.9577 | 489.61*** |
γ leverage Additional response to negative shocks | -0.3561 | -12.77*** |
Persistence:
0.996
Half-life:
182 days
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