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, June 29th, 2026
1 Day
23.09%
decreased by 0.77%
1 Week
24.83%
increased by 0.97%
1 Month
30.84%
increased by 6.98%
Analysis last updated: Saturday, June 27, 2026 at 04:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.1660 | 6.63 | |
| 0.0000 | 0.00 | |
| 0.8627 | 78.31 | |
| 0.2746 | 7.53 |
Estimation Period:
Aug 5, 2022 to Jun 26, 2026
Aug 5, 2022 to Jun 26, 2026
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