Yes, Dave, Arctiidae make such crazy cocoons. I only know the ones from Cyana sp.
http://www.projectnoah.org/spottings/16991792
http://www.projectnoah.org/spottings/21006114
This looks like a caterpillar pupae. The caterpillar constructs the basket from its hairs. The images in my files are of Arctiidae sp, so you could start there.
Dave
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