V-Lab
CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
28.54%
decreased by 1.29%
1 Week
28.52%
decreased by 1.31%
1 Month
28.45%
decreased by 1.38%
Analysis last updated: Sunday, August 30, 2026 at 04:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Aug 28, 2026Model Insight
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days. Returns follow a Student-t distribution with v = 5.77 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 | 3.0620 | 1.32 |
α ARCH Response to squared shocks | 0.0583 | 6.47*** |
β GARCH Volatility persistence | 0.9884 | 107.34*** |
ν DF Student-t tail thickness | 5.7724 | 1.62 |
Persistence:
0.988
Half-life:
59 days
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