S&P GSCI Grains Spot 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 1st, 2026
1 Day
8.84%
increased by 1.27%
1 Week
9.40%
increased by 1.83%
1 Month
11.24%
increased by 3.67%
Analysis last updated: Friday, May 29, 2026 at 11:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 56 | ||
| 0.7500 | 7,499,900.00 | |
| 0.0000 | 100.00 | |
| 0.5000 | 5,000,000.00 | |
| 1.3322 | 42.22 | |
| 0.2150 | 23.37 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 2, 1990 to May 29, 2026
Jan 2, 1990 to May 29, 2026
Other S&P GSCI Grains Spot Index Analyses
Other MF2-GARCH Analyses on Commodities