ICE US Cotton No. 2 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
34.95%
increased by 3.52%
1 Week
34.88%
increased by 3.45%
1 Month
34.59%
increased by 3.16%
Analysis last updated: Saturday, October 10, 2026 at 04:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Oct 9, 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 = 5.33 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.992, shock half-life ~83 daysv = 5.33 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.5872 | 1.15 |
| αARCH | 0.0442 | 6.15*** |
| βGARCH | 0.9917 | 131.41*** |
| νDF | 5.3308 | 1.70* |
0.992
Persistence83d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.5872 | 1.15 |
α ARCH Response to squared shocks | 0.0442 | 6.15*** |
β GARCH Volatility persistence | 0.9917 | 131.41*** |
ν DF Student-t tail thickness | 5.3308 | 1.70* |
Persistence:
0.992
Half-life:
83 days
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