CME Feeder Cattle APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
16.58%
1 Week
16.68%
1 Month
17.07%
Analysis last updated: Saturday, October 17, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 2001 to Oct 16, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 97 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.17 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: volatility responds almost entirely to negative shocks
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0113 | 5.15*** |
| αARCH | 0.0268 | 3.33*** |
| βGARCH | 0.9699 | 176.29*** |
| γleverage | 0.7425 | 2.51** |
| δpower | 1.1670 | 4.42*** |
0.993
Persistence97d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0113 | 5.15*** |
α ARCH Response to squared shocks | 0.0268 | 3.33*** |
β GARCH Volatility persistence | 0.9699 | 176.29*** |
γ leverage Additional response to negative shocks | 0.7425 | 2.51** |
δ power Transformation power | 1.1670 | 4.42*** |
Persistence:
0.993
Half-life:
97 days
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