S&P GSCI Cocoa Index EGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
43.49%
increased by 0.24%
1 Week
43.50%
increased by 0.25%
1 Month
43.52%
increased by 0.27%
Analysis last updated: Friday, October 16, 2026 at 11:51 PM UTC
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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 0.996, volatility shocks have a half-life of 175 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 56% more than negative returns
σ
EGARCH Model
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High persistence: persistence 0.996, shock half-life ~175 daysInverse leverage: Positive returns increase volatility 56% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0081 | 2.57** |
| αARCH | 0.0806 | 7.75*** |
| βGARCH | 0.9960 | 647.20*** |
| γleverage | 0.0175 | 2.16** |
0.996
Persistence175d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0081 | 2.57** |
α ARCH Response to squared shocks | 0.0806 | 7.75*** |
β GARCH Volatility persistence | 0.9960 | 647.20*** |
γ leverage Additional response to negative shocks | 0.0175 | 2.16** |
Persistence:
0.996
Half-life:
175 days
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