ICE US Sugar GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
26.82%
decreased by 0.47%
1 Week
26.96%
decreased by 0.33%
1 Month
27.46%
increased by 0.17%
Analysis last updated: Thursday, July 16, 2026 at 08:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2000 to Jul 10, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0405 | 12.81*** |
α ARCH Response to squared shocks | 0.0389 | 20.49*** |
β GARCH Volatility persistence | 0.9520 | 414.65*** |
Persistence:
0.991
Half-life:
76 days
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