S&P GSCI Sugar Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
22.89%
decreased by 0.43%
1 Week
23.11%
decreased by 0.21%
1 Month
23.89%
increased by 0.57%
Analysis last updated: Tuesday, July 14, 2026 at 11:10 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
The news-impact curve is shifted (γ = 0.12) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0447 | 21.96*** |
α ARCH Response to squared shocks | 0.0501 | 52.47*** |
β GARCH Volatility persistence | 0.9377 | 913.06*** |
γ leverage Additional response to negative shocks | 0.1151 | 3.33*** |
Persistence:
0.988
Half-life:
57 days
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