CME Live Cattle GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
18.58%
increased by 1.13%
1 Week
18.56%
increased by 1.11%
1 Month
18.50%
increased by 1.05%
Analysis last updated: Saturday, October 10, 2026 at 04:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2001 to Oct 9, 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 = 3.54 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 42-day half-lifev = 3.54 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2962 | 0.90 |
| αARCH | 0.0547 | 4.68*** |
| βGARCH | 0.9836 | 51.02*** |
| νDF | 3.5357 | 2.68*** |
0.984
Persistence42d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2962 | 0.90 |
α ARCH Response to squared shocks | 0.0547 | 4.68*** |
β GARCH Volatility persistence | 0.9836 | 51.02*** |
ν DF Student-t tail thickness | 3.5357 | 2.68*** |
Persistence:
0.984
Half-life:
42 days
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