Chicago SRW Wheat MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
42.19%
1 Week
40.70%
1 Month
36.65%
Analysis last updated: Friday, July 17, 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 Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 111% 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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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0850 | 24.12*** |
β GARCH Volatility persistence | 0.8083 | 57.92*** |
γ leverage Additional response to negative shocks | -0.0448 | -9.11*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1450 | 0.78 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1706 | 0.82 |
λ₃ tau persistence Long-term factor persistence | 0.7931 | 3.11*** |
Persistence:
0.871
Half-life:
5 days
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