ICE US Cocoa APARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
49.21%
1 Week
49.20%
1 Month
49.14%
Analysis last updated: Friday, October 16, 2026 at 10:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 9, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 528 trading days (~2.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.80 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 86% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0082 | 1.89* |
| αARCH | 0.0281 | 4.69*** |
| βGARCH | 0.9719 | 198.47*** |
| γleverage | -0.1714 | -2.49** |
| δpower | 1.7982 | 5.90*** |
0.999
Persistence528d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0082 | 1.89* |
α ARCH Response to squared shocks | 0.0281 | 4.69*** |
β GARCH Volatility persistence | 0.9719 | 198.47*** |
γ leverage Additional response to negative shocks | -0.1714 | -2.49** |
δ power Transformation power | 1.7982 | 5.90*** |
Persistence:
0.999
Half-life:
528 days
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