V-Lab
S&P GSCI Coffee Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
45.89%
decreased by 1.43%
1 Week
45.43%
decreased by 1.89%
1 Month
43.84%
decreased by 3.48%
Analysis last updated: Friday, August 28, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 28, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 378% 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1250 | 4.54*** |
α ARCH Response to squared shocks | 0.0996 | 4.62*** |
β GARCH Volatility persistence | 0.9147 | 91.16*** |
γ leverage Additional response to negative shocks | -0.0787 | -3.26*** |
Persistence:
0.975
Half-life:
27 days
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