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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Sugar Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model 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

ParameterValuet-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