V-Lab
S&P GSCI Wheat Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
33.93%
1 Week
33.52%
1 Month
32.01%
Analysis last updated: Friday, July 24, 2026 at 11:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 175% 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 | 76 | |
α ARCH Response to squared shocks | 0.0652 | 18.11*** |
β GARCH Volatility persistence | 0.8944 | 203.28*** |
γ leverage Additional response to negative shocks | -0.0415 | -17.25*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3567 | 0.16 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7899 | 0.16 |
λ₃ tau persistence Long-term factor persistence | 0.0887 | 0.02 |
Persistence:
0.939
Half-life:
11 days
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