V-Lab
ICE US Coffee Arabica GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
31.00%
increased by 0.05%
1 Week
31.30%
increased by 0.35%
1 Month
32.12%
increased by 1.17%
Analysis last updated: Saturday, September 19, 2026 at 04:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Sep 18, 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 | 0.2452 | 4.16*** |
| αARCH | 0.0822 | 3.19*** |
| βGARCH | 0.8988 | 56.91*** |
| γleverage | -0.0704 | -2.45** |
0.946
Persistence12d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2452 | 4.16*** |
α ARCH Response to squared shocks | 0.0822 | 3.19*** |
β GARCH Volatility persistence | 0.8988 | 56.91*** |
γ leverage Additional response to negative shocks | -0.0704 | -2.45** |
Persistence:
0.946
Half-life:
12 days
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