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V-Lab

S&P GSCI Sugar Index EGARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

24.71%

decreased by 0.52%

1 Week

24.84%

decreased by 0.39%

1 Month

25.35%

increased by 0.12%

Analysis last updated: Wednesday, July 15, 2026 at 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Sugar Index EGARCH

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

With persistence 0.993, volatility shocks have a half-life of 94 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0118
17.94***
α

ARCH

Response to squared shocks

0.0695
29.12***
β

GARCH

Volatility persistence

0.9926
2,063.68***
γ

leverage

Additional response to negative shocks

0.0003
0.16

Persistence:

0.993

Half-life:

94 days