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V-Lab

CME Live Cattle GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

17.61%

increased by 0.43%

1 Week

17.63%

increased by 0.45%

1 Month

17.68%

increased by 0.50%

Analysis last updated: Tuesday, July 21, 2026 at 02:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CME Live Cattle GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 1, 2001 to Jul 17, 2026

Model 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 = 3.52 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.2963
3.57***
α

ARCH

Response to squared shocks

0.0549
18.77***
β

GARCH

Volatility persistence

0.9835
202.04***
ν

DF

Student-t tail thickness

3.5178
10.81***

Persistence:

0.984

Half-life:

42 days