ICE US Cocoa GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
71.68%
decreased by 1.42%
1 Week
71.59%
decreased by 1.51%
1 Month
71.27%
decreased by 1.83%
Analysis last updated: Tuesday, July 21, 2026 at 12:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Jul 17, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 439 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4932 | 7.41*** |
α ARCH Response to squared shocks | 0.0260 | 39.69*** |
β GARCH Volatility persistence | 0.9984 | 6,279.38*** |
ν DF Student-t tail thickness | 6.7231 | 9.73*** |
Persistence:
0.998
Half-life:
439 days
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