V-Lab
ICE US Orange Juice MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
69.50%
1 Week
71.58%
1 Month
72.41%
Analysis last updated: Saturday, August 15, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2001 to Aug 14, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 103% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 86 | |
α ARCH Response to squared shocks | 0.1446 | 12.19*** |
β GARCH Volatility persistence | 0.4360 | 11.93*** |
γ leverage Additional response to negative shocks | -0.0734 | -8.30*** |
λ₁ tau intercept Baseline long-term coefficient | 0.4303 | 0.27 |
λ₂ forecast adj. Forecast performance sensitivity | 0.4205 | 0.29 |
λ₃ tau persistence Long-term factor persistence | 0.5078 | 0.30 |
Persistence:
0.544
Half-life:
1 days
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