V-Lab
Chicago SRW Wheat MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
40.61%
1 Week
39.29%
1 Month
37.01%
Analysis last updated: Sunday, August 30, 2026 at 04:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Aug 28, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 118% 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 | 61 | |
α ARCH Response to squared shocks | 0.0833 | 5.93*** |
β GARCH Volatility persistence | 0.8102 | 28.44*** |
γ leverage Additional response to negative shocks | -0.0451 | -2.71*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1531 | 1.59 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1781 | 1.97** |
λ₃ tau persistence Long-term factor persistence | 0.7841 | 7.00*** |
Persistence:
0.871
Half-life:
5 days
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