V-Lab
S&P GSCI Coffee Index APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
33.81%
1 Week
33.93%
1 Month
34.37%
Analysis last updated: Saturday, September 12, 2026 at 12:56 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 344% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.57 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0839 | 4.12*** |
| αARCH | 0.0590 | 6.47*** |
| βGARCH | 0.9212 | 86.97*** |
| γleverage | -0.4413 | -4.85*** |
| δpower | 1.5737 | 7.91*** |
0.977
Persistence30d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0839 | 4.12*** |
α ARCH Response to squared shocks | 0.0590 | 6.47*** |
β GARCH Volatility persistence | 0.9212 | 86.97*** |
γ leverage Additional response to negative shocks | -0.4413 | -4.85*** |
δ power Transformation power | 1.5737 | 7.91*** |
Persistence:
0.977
Half-life:
30 days
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