S&P GSCI Cocoa Index APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
45.64%
1 Week
45.58%
1 Month
45.37%
Analysis last updated: Friday, October 16, 2026 at 11:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 239 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.82 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 62% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0125 | 2.95*** |
| αARCH | 0.0352 | 5.97*** |
| βGARCH | 0.9635 | 197.20*** |
| γleverage | -0.1326 | -2.29** |
| δpower | 1.8197 | 8.92*** |
0.997
Persistence239d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0125 | 2.95*** |
α ARCH Response to squared shocks | 0.0352 | 5.97*** |
β GARCH Volatility persistence | 0.9635 | 197.20*** |
γ leverage Additional response to negative shocks | -0.1326 | -2.29** |
δ power Transformation power | 1.8197 | 8.92*** |
Persistence:
0.997
Half-life:
239 days
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