S&P GSCI Cocoa Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
72.28%
1 Week
71.93%
1 Month
70.56%
Analysis last updated: Thursday, July 16, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 234% 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
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.0416 | 24.32*** |
β GARCH Volatility persistence | 0.9440 | 404.45*** |
γ leverage Additional response to negative shocks | -0.0291 | -17.89*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3327 | 4.96*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9242 | 16.60*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.971
Half-life:
24 days
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