V-Lab
CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
22.89%
decreased by 0.74%
1 Week
23.01%
decreased by 0.62%
1 Month
23.46%
decreased by 0.17%
Analysis last updated: Saturday, September 19, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Sep 18, 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 = 5.74 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 = 5.74 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0445 | 1.32 |
| αARCH | 0.0582 | 6.43*** |
| βGARCH | 0.9883 | 105.96*** |
| νDF | 5.7434 | 1.63 |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0445 | 1.32 |
α ARCH Response to squared shocks | 0.0582 | 6.43*** |
β GARCH Volatility persistence | 0.9883 | 105.96*** |
ν DF Student-t tail thickness | 5.7434 | 1.63 |
Persistence:
0.988
Half-life:
59 days
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