ICE US Cotton No. 2 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
23.85%
1 Week
23.96%
1 Month
24.39%
Analysis last updated: Saturday, October 31, 2026 at 04:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 30, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 79 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 = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.5348 | 1.18 |
| αscore | 0.0452 | 6.00*** |
| βpersistence | 0.9913 | 126.89*** |
| νDF | 5.4202 | 1.63 |
0.991
Persistence79d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.5348 | 1.18 |
α score Weight on the scaled score | 0.0452 | 6.00*** |
β persistence Volatility persistence | 0.9913 | 126.89*** |
ν DF Student-t tail thickness | 5.4202 | 1.63 |
Persistence:
0.991
Half-life:
79 days
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