V-Lab
S&P GSCI Precious Metals Spot Index APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
24.92%
1 Week
24.93%
1 Month
24.95%
Analysis last updated: Saturday, September 12, 2026 at 12:55 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 386 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.75 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 137% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0044 | 3.44*** |
| αARCH | 0.0401 | 3.98*** |
| βGARCH | 0.9599 | 113.31*** |
| γleverage | -0.2411 | -2.15** |
| δpower | 1.7508 | 6.98*** |
0.998
Persistence386d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0044 | 3.44*** |
α ARCH Response to squared shocks | 0.0401 | 3.98*** |
β GARCH Volatility persistence | 0.9599 | 113.31*** |
γ leverage Additional response to negative shocks | -0.2411 | -2.15** |
δ power Transformation power | 1.7508 | 6.98*** |
Persistence:
0.998
Half-life:
386 days
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