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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0129	10.20***
α ARCH Response to squared shocks	0.0410	19.38***
β GARCH Volatility persistence	0.9643	815.79***
γ leverage Additional response to negative shocks	-0.0161	-5.81***

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S&P GSCI Cocoa Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Cocoa Index Analyses