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V-Lab

S&P GSCI Sugar Index GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 17th, 2026

1 Day

24.43%

increased by 0.89%

1 Week

24.49%

increased by 0.95%

1 Month

24.71%

increased by 1.17%

Analysis last updated: Thursday, July 16, 2026 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Sugar Index GJR-GARCH

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 0.996, 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0158
14.22***
α

ARCH

Response to squared shocks

0.0292
15.77***
β

GARCH

Volatility persistence

0.9667
918.00***
γ

leverage

Additional response to negative shocks

-0.0003
-0.11

Persistence:

0.996

Half-life:

161 days