CBOT Oats GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
37.39%
1 Week
37.37%
1 Month
37.29%
Analysis last updated: Saturday, October 31, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Oct 30, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.98 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.4406 | 3.12*** |
| αscore | 0.0301 | 13.79*** |
| βpersistence | 0.9990 | 316.64*** |
| νDF | 3.9782 | 9.82*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.4406 | 3.12*** |
α score Weight on the scaled score | 0.0301 | 13.79*** |
β persistence Volatility persistence | 0.9990 | 316.64*** |
ν DF Student-t tail thickness | 3.9782 | 9.82*** |
Persistence:
0.999
Half-life:
693 days
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