V-Lab: S&P GSCI Grains Spot Index MF2-GARCH Volatility Analysis

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S&P GSCI Grains Spot Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, November 17th, 2025:18.89% (+1.37%)

Analysis last updated: Sunday, November 16, 2025 at 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0718	31.93
$β$	0.9097	251.37
$γ$	-0.0170	-7.43
$λ_{1}$	0.0018	6.18
$λ_{2}$	0.0123	7.18
$λ_{3}$	0.9868	520.45

Estimation Period:
Jan 2, 1990 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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