CME Feeder Cattle GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
20.37%
increased by 1.68%
1 Week
20.28%
increased by 1.59%
1 Month
19.96%
increased by 1.27%
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
Apr 3, 2001 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 3.21 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 40-day half-lifev = 3.21 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2256 | 0.88 |
| αARCH | 0.0584 | 5.30*** |
| βGARCH | 0.9827 | 49.50*** |
| νDF | 3.2101 | 3.52*** |
0.983
Persistence40d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2256 | 0.88 |
α ARCH Response to squared shocks | 0.0584 | 5.30*** |
β GARCH Volatility persistence | 0.9827 | 49.50*** |
ν DF Student-t tail thickness | 3.2101 | 3.52*** |
Persistence:
0.983
Half-life:
40 days
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