V-Lab
S&P GSCI Agricultural Spot Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
19.84%
1 Week
19.75%
1 Month
19.43%
Analysis last updated: Thursday, July 30, 2026 at 11:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 27% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.0662 | 32.40*** |
β GARCH Volatility persistence | 0.9193 | 289.37*** |
γ leverage Additional response to negative shocks | -0.0141 | -6.79*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0014 | 9.04*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0104 | 7.23*** |
λ₃ tau persistence Long-term factor persistence | 0.9885 | 624.04*** |
Persistence:
0.978
Half-life:
32 days
Other S&P GSCI Agricultural Spot Index Analyses
Other MF2-GARCH Analyses on Commodities