S&P GSCI Coffee Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
35.85%
increased by 0.05%
1 Week
35.82%
increased by 0.02%
1 Month
35.72%
decreased by 0.08%
Analysis last updated: Wednesday, October 7, 2026 at 11:06 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 379% 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
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Inverse leverage: Positive returns increase volatility 379% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1296 | 4.60*** |
| αARCH | 0.1011 | 4.63*** |
| βGARCH | 0.9127 | 89.36*** |
| γleverage | -0.0800 | -3.26*** |
0.974
Persistence26d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1296 | 4.60*** |
α ARCH Response to squared shocks | 0.1011 | 4.63*** |
β GARCH Volatility persistence | 0.9127 | 89.36*** |
γ leverage Additional response to negative shocks | -0.0800 | -3.26*** |
Persistence:
0.974
Half-life:
26 days
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