V-Lab
CBOT Rough Rice GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
27.23%
increased by 6.00%
1 Week
27.29%
increased by 6.06%
1 Month
27.49%
increased by 6.26%
Analysis last updated: Saturday, August 22, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 1999 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 31 trading days, meaning a shock loses half its impact after approximately 31 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0712 | 17.63*** |
α ARCH Response to squared shocks | 0.0865 | 20.13*** |
β GARCH Volatility persistence | 0.8889 | 278.82*** |
γ leverage Additional response to negative shocks | 0.0051 | 0.62 |
Persistence:
0.978
Half-life:
31 days
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