S&P GSCI Agricultural Spot Index MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 1st, 2026
1 Day
11.48%
decreased by 7.68%
1 Week
11.78%
decreased by 7.38%
1 Month
12.68%
decreased by 6.48%
Analysis last updated: Tuesday, June 30, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 51 | ||
| 1.0000 | 9,999,900.00 | |
| 0.0000 | 100.00 | |
| 0.0000 | 0.00 | |
| 0.9976 | 23.88 | |
| 0.1377 | 22.08 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 2, 1990 to Jun 26, 2026
Jan 2, 1990 to Jun 26, 2026
Other S&P GSCI Agricultural Spot Index Analyses
Other MF2-GARCH Analyses on Commodities