V-Lab
ICE US Cotton No. 2 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
27.51%
decreased by 0.55%
1 Week
27.56%
decreased by 0.50%
1 Month
27.71%
decreased by 0.35%
Analysis last updated: Thursday, August 6, 2026 at 08:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Jul 31, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.35 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 | 3.5519 | 4.63*** |
α ARCH Response to squared shocks | 0.0442 | 24.51*** |
β GARCH Volatility persistence | 0.9917 | 524.42*** |
ν DF Student-t tail thickness | 5.3486 | 6.74*** |
Persistence:
0.992
Half-life:
83 days
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