CME Feeder Cattle APARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
18.07%
1 Week
18.15%
1 Month
18.46%
Analysis last updated: Saturday, July 11, 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 Jul 10, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 99 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0112 | 20.65*** |
α ARCH Response to squared shocks | 0.0270 | 13.44*** |
β GARCH Volatility persistence | 0.9699 | 707.96*** |
γ leverage Additional response to negative shocks | 0.7399 | 10.08*** |
δ power Transformation power | 1.1673 | 17.69*** |
Persistence:
0.993
Half-life:
99 days
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