ICE US Coffee Arabica GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
32.99%
decreased by 0.49%
1 Week
33.06%
decreased by 0.42%
1 Month
33.28%
decreased by 0.20%
Analysis last updated: Thursday, October 29, 2026 at 10:04 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 23, 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 | 0.2283 | 4.03*** |
| αARCH | 0.0791 | 3.16*** |
| βGARCH | 0.9043 | 59.22*** |
| γleverage | -0.0676 | -2.43** |
0.950
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2283 | 4.03*** |
α ARCH Response to squared shocks | 0.0791 | 3.16*** |
β GARCH Volatility persistence | 0.9043 | 59.22*** |
γ leverage Additional response to negative shocks | -0.0676 | -2.43** |
Persistence:
0.950
Half-life:
13 days
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