V-Lab
CBOT Corn GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
27.42%
decreased by 1.12%
1 Week
27.43%
decreased by 1.11%
1 Month
27.46%
decreased by 1.08%
Analysis last updated: Friday, August 7, 2026 at 05:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2000 to Jul 31, 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 | 3.0597 | 5.28*** |
α ARCH Response to squared shocks | 0.0585 | 25.89*** |
β GARCH Volatility persistence | 0.9883 | 427.28*** |
ν DF Student-t tail thickness | 5.7659 | 6.50*** |
Persistence:
0.988
Half-life:
59 days
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