ICE US Cocoa MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, October 28th, 2026
1 Day
48.66%
1 Week
48.68%
1 Month
48.77%
Analysis last updated: Wednesday, October 28, 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 1.000, volatility shocks have a half-life of 15753 trading days (~62.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 64% more than negative returns
MF2-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 126 | |
| αARCH | 0.0325 | 5.68*** |
| βGARCH | 0.9738 | 239.33*** |
| γleverage | -0.0127 | -2.08** |
| λ₁tau intercept | 5.7971 | 5.35*** |
| λ₂forecast adj. | 0.0000 | 0.00 |
| λ₃tau persistence | 0.9465 | 35.07*** |
1.000
Persistence15753d
Half-lifeMF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0325 | 5.68*** |
β GARCH Volatility persistence | 0.9738 | 239.33*** |
γ leverage Additional response to negative shocks | -0.0127 | -2.08** |
λ₁ tau intercept Baseline long-term coefficient | 5.7971 | 5.35*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9465 | 35.07*** |
Persistence:
1.000
Half-life:
15753 days
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