CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
19.65%
decreased by 0.24%
1 Week
19.88%
decreased by 0.01%
1 Month
20.70%
increased by 0.81%
Analysis last updated: Saturday, October 31, 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
Jul 17, 2000 to Oct 30, 2026Model Insight
Volatility shocks decay with a half-life of 56 trading days, meaning a shock loses half its impact after approximately 56 days. Returns follow a Student-t distribution with v = 6.15 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 56-day half-lifev = 6.15 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.0661 | 1.46 |
| αscore | 0.0595 | 6.34*** |
| βpersistence | 0.9876 | 110.66*** |
| νDF | 6.1457 | 1.48 |
0.988
Persistence56d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.0661 | 1.46 |
α score Weight on the scaled score | 0.0595 | 6.34*** |
β persistence Volatility persistence | 0.9876 | 110.66*** |
ν DF Student-t tail thickness | 6.1457 | 1.48 |
Persistence:
0.988
Half-life:
56 days
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