V-Lab
S&P GSCI Cocoa Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
56.05%
1 Week
56.31%
1 Month
55.19%
Analysis last updated: Saturday, September 19, 2026 at 12:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 229% 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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| Param | Value | t-stat |
|---|---|---|
| mwindow | 101 | |
| αARCH | 0.0414 | 5.60*** |
| βGARCH | 0.9436 | 94.80*** |
| γleverage | -0.0288 | -3.65*** |
| λ₁tau intercept | 0.3414 | 2.86*** |
| λ₂forecast adj. | 0.9198 | 19.28*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.971
Persistence23d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.0414 | 5.60*** |
β GARCH Volatility persistence | 0.9436 | 94.80*** |
γ leverage Additional response to negative shocks | -0.0288 | -3.65*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3414 | 2.86*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9198 | 19.28*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.971
Half-life:
23 days
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