ICE US Cocoa GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
45.43%
1 Week
45.40%
1 Month
45.28%
Analysis last updated: Friday, October 30, 2026 at 11:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 372 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.07 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.1890 | 1.61 |
| αscore | 0.0267 | 9.72*** |
| βpersistence | 0.9981 | 1,147.29*** |
| νDF | 7.0673 | 1.94* |
0.998
Persistence372d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.1890 | 1.61 |
α score Weight on the scaled score | 0.0267 | 9.72*** |
β persistence Volatility persistence | 0.9981 | 1,147.29*** |
ν DF Student-t tail thickness | 7.0673 | 1.94* |
Persistence:
0.998
Half-life:
372 days
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