V-Lab
CBOT Oats MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
45.46%
1 Week
47.12%
1 Month
48.63%
Analysis last updated: Friday, August 7, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 108% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.1103 | 3.05*** |
β GARCH Volatility persistence | 0.3635 | 4.63*** |
γ leverage Additional response to negative shocks | -0.0572 | -2.97*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2910 | 0.11 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0852 | 0.13 |
λ₃ tau persistence Long-term factor persistence | 0.8689 | 0.82 |
Persistence:
0.445
Half-life:
1 days
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