Skip to main content
V-Lab

S&P GSCI Grains Spot Index AGARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

22.31%

increased by 1.28%

1 Week

22.30%

increased by 1.27%

1 Month

22.26%

increased by 1.23%

Analysis last updated: Wednesday, July 15, 2026 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Grains Spot Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model Insight

With persistence 0.990, volatility shocks have a half-life of 70 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: positive returns raise volatility more

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0155
17.34***
α

ARCH

Response to squared shocks

0.0558
42.96***
β

GARCH

Volatility persistence

0.9343
643.87***
γ

leverage

Additional response to negative shocks

-0.2386
-11.87***

Persistence:

0.990

Half-life:

70 days