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V-Lab

CME Lumber GJR-GARCH Volatility Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Volatility prediction for Monday, July 20th, 2026

1 Day

19.04%

decreased by 0.28%

1 Week

20.97%

increased by 1.65%

1 Month

27.38%

increased by 8.06%

Analysis last updated: Saturday, July 18, 2026 at 04:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of CME Lumber GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 5, 2022 to Jul 17, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.1535
6.67***
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8672
80.39***
γ

leverage

Additional response to negative shocks

0.2656
7.56***

Persistence:

1.000

Half-life:

-