CBOT Corn Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
21.09%
decreased by 0.64%
1 Week
21.51%
decreased by 0.22%
1 Month
22.78%
increased by 1.05%
Analysis last updated: Friday, October 30, 2026 at 05:15 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 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 18 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7583 | 7.64*** |
| αARCH | 0.0758 | 6.70*** |
| βGARCH | 0.8856 | 65.64*** |
Spline Coefficients
K=4
| γ1 | 0.0055 | 0.43 |
| γ2 | -0.0336 | -1.73* |
| γ3 | 0.0495 | 4.22*** |
| γ4 | -0.0265 | -3.50*** |
0.961
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7583 | 7.64*** |
α ARCH Response to squared shocks | 0.0758 | 6.70*** |
β GARCH Volatility persistence | 0.8856 | 65.64*** |
Spline Coefficients
K=4
| γ1 | 0.0055 | 0.43 |
| γ2 | -0.0336 | -1.73* |
| γ3 | 0.0495 | 4.22*** |
| γ4 | -0.0265 | -3.50*** |
Persistence:
0.961
Half-life:
18 days
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