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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE US Orange Juice S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 17, 2001 to Jul 10, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ1-0.0004
-0.67

Persistence:

0.998

Half-life:

309 days