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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2001 to Jul 17, 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 = 3.52 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 | 1.2963 | 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
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