V-Lab
CME Feeder Cattle MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
18.26%
increased by 0.32%
1 Week
18.30%
increased by 0.36%
1 Month
18.43%
increased by 0.49%
Analysis last updated: Friday, August 7, 2026 at 02:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 2001 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9758 | 261.27*** |
γ leverage Additional response to negative shocks | 0.0248 | 9.94*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0605 | 0.36 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0413 | 0.39 |
λ₃ tau persistence Long-term factor persistence | 0.9059 | 3.66*** |
Persistence:
0.988
Half-life:
59 days
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