V-Lab
S&P GSCI Cocoa Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
67.47%
1 Week
67.42%
1 Month
67.20%
Analysis last updated: Thursday, August 6, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.0415 | 24.28*** |
β GARCH Volatility persistence | 0.9438 | 401.11*** |
γ leverage Additional response to negative shocks | -0.0291 | -17.86*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3365 | 4.95*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9223 | 16.35*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.971
Half-life:
23 days
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