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V-Lab

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

Volatility prediction for Thursday, November 5th, 2026

1 Day

14.65%

decreased by 0.32%

1 Week

14.93%

decreased by 0.04%

1 Month

15.78%

increased by 0.81%

Analysis last updated: Thursday, November 5, 2026 at 02:23 AM UTC

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Date Range:

from

11/04/2024

to

11/04/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Grains Spot Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Oct 30, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 36% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

MF2-GARCH Model

Tap to view equation

Inverse leverage: Positive returns increase volatility 36% more than negative returns
ParamValuet-stat
mwindow66
αARCH0.0729
9.14***
βGARCH0.9094
94.78***
γleverage-0.0194
-2.07**
λ₁tau intercept0.0018
0.88
λ₂forecast adj.0.0120
1.84*
λ₃tau persistence0.9871
136.11***

0.973

Persistence

25d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

66
α

ARCH

Response to squared shocks

0.0729
9.14***
β

GARCH

Volatility persistence

0.9094
94.78***
γ

leverage

Additional response to negative shocks

-0.0194
-2.07**
λ₁

tau intercept

Baseline long-term coefficient

0.0018
0.88
λ₂

forecast adj.

Forecast performance sensitivity

0.0120
1.84*
λ₃

tau persistence

Long-term factor persistence

0.9871
136.11***

Persistence:

0.973

Half-life:

25 days