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 Friday, November 14th, 2025:17.51% (+0.43%)

Analysis last updated: Friday, November 14, 2025 at 12:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0716	31.84
$β$	0.9098	250.57
$γ$	-0.0169	-7.39
$λ_{1}$	0.0018	6.15
$λ_{2}$	0.0124	7.14
$λ_{3}$	0.9867	513.62

Estimation Period:
Jan 2, 1990 to Nov 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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