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V-Lab

S&P GSCI Livestock Spot Index GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

15.80%

decreased by 0.36%

1 Week

15.75%

decreased by 0.41%

1 Month

15.56%

decreased by 0.60%

Analysis last updated: Friday, July 24, 2026 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Livestock Spot Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 156% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0138
21.03***
α

ARCH

Response to squared shocks

0.0245
13.95***
β

GARCH

Volatility persistence

0.9392
621.13***
γ

leverage

Additional response to negative shocks

0.0381
9.70***

Persistence:

0.983

Half-life:

40 days