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V-Lab

CME Lumber MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

18.34%

decreased by 2.98%

1 Week

20.74%

decreased by 0.58%

1 Month

24.76%

increased by 3.44%

Analysis last updated: Saturday, August 15, 2026 at 04:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of CME Lumber MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 5, 2022 to Aug 14, 2026
Boundary Parameters

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.0000
0.01
β

GARCH

Volatility persistence

0.5175
22.22***
γ

leverage

Additional response to negative shocks

0.5000
24.52***
λ₁

tau intercept

Baseline long-term coefficient

0.7371
1.67*
λ₂

forecast adj.

Forecast performance sensitivity

0.8039
1.80*
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.768

Half-life:

3 days