V-Lab
Chicago SRW Wheat APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
36.33%
1 Week
36.27%
1 Month
36.04%
Analysis last updated: Thursday, September 10, 2026 at 05:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 52% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.09 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0317 | 3.71*** |
| αARCH | 0.0604 | 6.92*** |
| βGARCH | 0.9377 | 101.74*** |
| γleverage | -0.1898 | -2.12** |
| δpower | 1.0942 | 5.66*** |
0.986
Persistence50d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0317 | 3.71*** |
α ARCH Response to squared shocks | 0.0604 | 6.92*** |
β GARCH Volatility persistence | 0.9377 | 101.74*** |
γ leverage Additional response to negative shocks | -0.1898 | -2.12** |
δ power Transformation power | 1.0942 | 5.66*** |
Persistence:
0.986
Half-life:
50 days
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