S&P GSCI Livestock Spot Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
15.70%
decreased by 0.39%
1 Week
15.65%
decreased by 0.44%
1 Month
15.47%
decreased by 0.62%
Analysis last updated: Tuesday, July 21, 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 17, 2026Model 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0138 | 21.05*** |
α ARCH Response to squared shocks | 0.0245 | 13.95*** |
β GARCH Volatility persistence | 0.9391 | 620.69*** |
γ leverage Additional response to negative shocks | 0.0382 | 9.72*** |
Persistence:
0.983
Half-life:
40 days
Other S&P GSCI Livestock Spot Index Analyses
Other GJR-GARCH Analyses on Commodities