V-Lab: S&P GSCI Coffee Index MF2-GARCH Volatility Analysis

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V-Lab

S&P GSCI Coffee Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 26th, 2025:35.58% (+0.32%)

Analysis last updated: Wednesday, November 26, 2025 at 12:05 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1032	26.11
$β$	0.8900	148.56
$γ$	-0.0884	-21.01
$λ_{1}$	0.0227	3.99
$λ_{2}$	0.0172	4.25
$λ_{3}$	0.9782	195.13

Estimation Period:
Jan 2, 1990 to Nov 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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