ICE US Coffee Arabica EGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
34.84%
decreased by 1.02%
1 Week
34.86%
decreased by 1.00%
1 Month
34.92%
decreased by 0.94%
Analysis last updated: Friday, October 9, 2026 at 09:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 210% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 210% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0644 | 3.00*** |
| αARCH | 0.1067 | 5.11*** |
| βGARCH | 0.9594 | 94.45*** |
| γleverage | 0.0546 | 3.34*** |
0.959
Persistence17d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0644 | 3.00*** |
α ARCH Response to squared shocks | 0.1067 | 5.11*** |
β GARCH Volatility persistence | 0.9594 | 94.45*** |
γ leverage Additional response to negative shocks | 0.0546 | 3.34*** |
Persistence:
0.959
Half-life:
17 days
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