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
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 0.996, 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 | 14.22*** |
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
Other S&P GSCI Sugar Index Analyses
Other GJR-GARCH Analyses on Commodities