CME Live Cattle GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
16.27%
increased by 1.20%
1 Week
16.33%
increased by 1.26%
1 Month
16.55%
increased by 1.48%
Analysis last updated: Friday, July 17, 2026 at 02:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2001 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 42 trading days, meaning a shock loses half its impact after approximately 42 days. Returns follow a Student-t distribution with v = 3.51 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2940 | 3.57*** |
α ARCH Response to squared shocks | 0.0550 | 18.82*** |
β GARCH Volatility persistence | 0.9836 | 201.84*** |
ν DF Student-t tail thickness | 3.5116 | 10.87*** |
Persistence:
0.984
Half-life:
42 days
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