S&P GSCI Silver Index EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
47.17%
decreased by 0.16%
1 Week
47.13%
decreased by 0.20%
1 Month
46.96%
decreased by 0.37%
Analysis last updated: Wednesday, July 15, 2026 at 11:05 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 0.992, volatility shocks have a half-life of 86 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 59% more than negative returns
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0165 | 14.43*** |
α ARCH Response to squared shocks | 0.1015 | 28.32*** |
β GARCH Volatility persistence | 0.9920 | 1,964.28*** |
γ leverage Additional response to negative shocks | 0.0232 | 7.08*** |
Persistence:
0.992
Half-life:
86 days
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