CBOT Soybeans MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, July 9th, 2026
1 Day
24.33%
1 Week
24.46%
1 Month
24.40%
Analysis last updated: Thursday, July 9, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 2000 to Jun 26, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 25% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.0731 | 12.49*** |
β GARCH Volatility persistence | 0.8981 | 66.47*** |
γ leverage Additional response to negative shocks | -0.0147 | -2.64*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0346 | 3.13*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0465 | 1.55 |
λ₃ tau persistence Long-term factor persistence | 0.9384 | 26.61*** |
Persistence:
0.964
Half-life:
19 days
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