CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
22.88%
decreased by 0.49%
1 Week
23.01%
decreased by 0.36%
1 Month
23.45%
increased by 0.08%
Analysis last updated: Saturday, October 17, 2026 at 04:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Oct 16, 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 = 5.71 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 59-day half-lifev = 5.71 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0434 | 1.32 |
| αARCH | 0.0577 | 6.43*** |
| βGARCH | 0.9883 | 106.58*** |
| νDF | 5.7113 | 1.64 |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0434 | 1.32 |
α ARCH Response to squared shocks | 0.0577 | 6.43*** |
β GARCH Volatility persistence | 0.9883 | 106.58*** |
ν DF Student-t tail thickness | 5.7113 | 1.64 |
Persistence:
0.988
Half-life:
59 days
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