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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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