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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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