CBOT Oats MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
80.10%
1 Week
60.73%
1 Month
50.95%
Analysis last updated: Friday, July 17, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 156% 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 | 0.1120 | 3.38*** |
β GARCH Volatility persistence | 0.4124 | 5.76*** |
γ leverage Additional response to negative shocks | -0.0682 | -3.45*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2544 | 0.12 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0734 | 0.14 |
λ₃ tau persistence Long-term factor persistence | 0.8853 | 1.09 |
Persistence:
0.490
Half-life:
1 days
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