S&P GSCI Soybeans Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
18.62%
decreased by 0.46%
1 Week
18.73%
decreased by 0.35%
1 Month
19.11%
increased by 0.03%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 41% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0268 | 21.71*** |
α ARCH Response to squared shocks | 0.0750 | 24.46*** |
β GARCH Volatility persistence | 0.9222 | 531.25*** |
γ leverage Additional response to negative shocks | -0.0218 | -4.89*** |
Persistence:
0.986
Half-life:
50 days
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