ICE US Coffee Arabica GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
33.80%
decreased by 0.82%
1 Week
33.80%
decreased by 0.82%
1 Month
33.79%
decreased by 0.83%
Analysis last updated: Saturday, October 10, 2026 at 04:04 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 9, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2288 | 4.04*** |
| αARCH | 0.0793 | 3.16*** |
| βGARCH | 0.9041 | 59.19*** |
| γleverage | -0.0678 | -2.44** |
0.949
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2288 | 4.04*** |
α ARCH Response to squared shocks | 0.0793 | 3.16*** |
β GARCH Volatility persistence | 0.9041 | 59.19*** |
γ leverage Additional response to negative shocks | -0.0678 | -2.44** |
Persistence:
0.949
Half-life:
13 days
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