V-Lab
Chicago SRW Wheat MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
34.51%
1 Week
34.51%
1 Month
34.70%
Analysis last updated: Friday, September 11, 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 116% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 61 | |
| αARCH | 0.0829 | 5.92*** |
| βGARCH | 0.8107 | 28.48*** |
| γleverage | -0.0446 | -2.69*** |
| λ₁tau intercept | 0.1523 | 1.59 |
| λ₂forecast adj. | 0.1770 | 1.98** |
| λ₃tau persistence | 0.7853 | 7.06*** |
0.871
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0829 | 5.92*** |
β GARCH Volatility persistence | 0.8107 | 28.48*** |
γ leverage Additional response to negative shocks | -0.0446 | -2.69*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1523 | 1.59 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1770 | 1.98** |
λ₃ tau persistence Long-term factor persistence | 0.7853 | 7.06*** |
Persistence:
0.871
Half-life:
5 days
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