V-Lab
S&P GSCI Soybeans Index MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
18.04%
1 Week
18.16%
1 Month
18.59%
Analysis last updated: Monday, August 24, 2026 at 11:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 39% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.0773 | 39.34*** |
β GARCH Volatility persistence | 0.9158 | 424.76*** |
γ leverage Additional response to negative shocks | -0.0219 | -8.84*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0016 | 12.06*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0031 | 8.98*** |
λ₃ tau persistence Long-term factor persistence | 0.9960 | 2,388.59*** |
Persistence:
0.982
Half-life:
38 days
Other S&P GSCI Soybeans Index Analyses
Other MF2-GARCH Analyses on Commodities