S&P GSCI Coffee Index EGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
37.06%
increased by 4.02%
1 Week
37.08%
increased by 4.04%
1 Month
37.13%
increased by 4.09%
Analysis last updated: Friday, October 16, 2026 at 11:51 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 219% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 219% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0390 | 2.69*** |
| αARCH | 0.1224 | 7.25*** |
| βGARCH | 0.9772 | 148.38*** |
| γleverage | 0.0639 | 4.78*** |
0.977
Persistence30d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0390 | 2.69*** |
α ARCH Response to squared shocks | 0.1224 | 7.25*** |
β GARCH Volatility persistence | 0.9772 | 148.38*** |
γ leverage Additional response to negative shocks | 0.0639 | 4.78*** |
Persistence:
0.977
Half-life:
30 days
Other S&P GSCI Coffee Index Analyses
Other EGARCH Analyses on Commodities