S&P GSCI Cotton Index MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 8th, 2026
1 Day
7.13%
decreased by 34.82%
1 Week
7.10%
decreased by 34.85%
1 Month
6.84%
decreased by 35.11%
Analysis last updated: Friday, June 5, 2026 at 11:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 56 | ||
| 0.8138 | 8,138,140.00 | |
| 0.0000 | 100.00 | |
| 0.3724 | 3,723,530.00 | |
| 2.3233 | 23,232,670.00 | |
| 0.0146 | 145,590.00 | |
| 0.0000 | 100.00 |
Estimation Period:
Jan 2, 1990 to Jun 5, 2026
Jan 2, 1990 to Jun 5, 2026
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