S&P GSCI Sugar Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
24.82%
decreased by 0.34%
1 Week
24.87%
decreased by 0.29%
1 Month
25.08%
decreased by 0.08%
Analysis last updated: Monday, July 20, 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 17, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 161 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0158 | 14.23*** |
α ARCH Response to squared shocks | 0.0292 | 15.76*** |
β GARCH Volatility persistence | 0.9667 | 918.90*** |
γ leverage Additional response to negative shocks | -0.0003 | -0.11 |
Persistence:
0.996
Half-life:
161 days
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