CBOT Oats Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
33.61%
decreased by 0.65%
1 Week
34.36%
increased by 0.10%
1 Month
34.63%
increased by 0.37%
Analysis last updated: Friday, October 30, 2026 at 07:06 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 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1829 | 6.07*** |
| αARCH | 0.0851 | 3.03*** |
| βGARCH | 0.2988 | 0.97 |
Spline Coefficients
K=10
| γ1 | -0.8488 | -7.29*** |
| γ2 | 1.0440 | 6.45*** |
| γ3 | -0.1961 | -2.45** |
| γ4 | -0.0532 | -0.78 |
| γ5 | 0.1340 | 2.33** |
| γ6 | -0.1631 | -2.59*** |
| γ7 | 0.1255 | 1.45 |
| γ8 | -0.0070 | -0.06 |
| γ9 | -0.0991 | -0.87 |
| γ10 | 0.0900 | 1.09 |
0.384
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1829 | 6.07*** |
α ARCH Response to squared shocks | 0.0851 | 3.03*** |
β GARCH Volatility persistence | 0.2988 | 0.97 |
Spline Coefficients
K=10
| γ1 | -0.8488 | -7.29*** |
| γ2 | 1.0440 | 6.45*** |
| γ3 | -0.1961 | -2.45** |
| γ4 | -0.0532 | -0.78 |
| γ5 | 0.1340 | 2.33** |
| γ6 | -0.1631 | -2.59*** |
| γ7 | 0.1255 | 1.45 |
| γ8 | -0.0070 | -0.06 |
| γ9 | -0.0991 | -0.87 |
| γ10 | 0.0900 | 1.09 |
Persistence:
0.384
Half-life:
1 days
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