CBOT Oats GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
41.93%
increased by 4.22%
1 Week
42.02%
increased by 4.31%
1 Month
42.33%
increased by 4.62%
Analysis last updated: Saturday, October 10, 2026 at 04:05 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 48 trading days, meaning a shock loses half its impact after approximately 48 days. Returns follow a Student-t distribution with v = 3.12 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 48-day half-lifev = 3.12 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.0024 | 0.95 |
| αARCH | 0.0811 | 8.46*** |
| βGARCH | 0.9856 | 62.17*** |
| νDF | 3.1186 | 7.46*** |
0.986
Persistence48d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.0024 | 0.95 |
α ARCH Response to squared shocks | 0.0811 | 8.46*** |
β GARCH Volatility persistence | 0.9856 | 62.17*** |
ν DF Student-t tail thickness | 3.1186 | 7.46*** |
Persistence:
0.986
Half-life:
48 days
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