ICE US Orange Juice Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
81.36%
decreased by 0.58%
1 Week
81.24%
decreased by 0.70%
1 Month
80.74%
decreased by 1.20%
Analysis last updated: Friday, July 17, 2026 at 01:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2001 to Jul 10, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 309 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0442 | 3.40*** |
α ARCH Response to squared shocks | 0.0259 | 6.05*** |
β GARCH Volatility persistence | 0.9719 | 194.96*** |
Spline Coefficients
K=1
| γ1 | -0.0004 | -0.67 |
Persistence:
0.998
Half-life:
309 days
Other ICE US Orange Juice Analyses
Other Zero Slope Spline-GARCH Analyses on Commodities