CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
27.14%
increased by 3.50%
1 Week
27.15%
increased by 3.51%
1 Month
27.21%
increased by 3.57%
Analysis last updated: Saturday, October 10, 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 9, 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 = 5.73 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 = 5.73 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0585 | 1.31 |
| αARCH | 0.0577 | 6.42*** |
| βGARCH | 0.9884 | 106.83*** |
| νDF | 5.7262 | 1.63 |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0585 | 1.31 |
α ARCH Response to squared shocks | 0.0577 | 6.42*** |
β GARCH Volatility persistence | 0.9884 | 106.83*** |
ν DF Student-t tail thickness | 5.7262 | 1.63 |
Persistence:
0.988
Half-life:
59 days
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