CME Feeder Cattle GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
17.94%
increased by 0.64%
1 Week
17.93%
increased by 0.63%
1 Month
17.88%
increased by 0.58%
Analysis last updated: Friday, July 17, 2026 at 02:05 PM 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
Volatility shocks decay with a half-life of 39 trading days, meaning a shock loses half its impact after approximately 39 days. Returns follow a Student-t distribution with v = 3.20 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 | 1.2206 | 3.51*** |
α ARCH Response to squared shocks | 0.0589 | 21.09*** |
β GARCH Volatility persistence | 0.9824 | 193.85*** |
ν DF Student-t tail thickness | 3.2014 | 14.02*** |
Persistence:
0.982
Half-life:
39 days
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