V-Lab
CBOT Oats Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
38.65%
decreased by 2.66%
1 Week
37.01%
decreased by 4.30%
1 Month
36.33%
decreased by 4.98%
Analysis last updated: Saturday, September 19, 2026 at 04:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Sep 18, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2035 | 7.12*** |
| αARCH | 0.0844 | 3.09*** |
| βGARCH | 0.3506 | 1.17 |
Spline Coefficients
K=9
| γ1 | -0.7045 | -7.56*** |
| γ2 | 0.9158 | 6.74*** |
| γ3 | -0.2803 | -4.16*** |
| γ4 | 0.1022 | 1.95* |
| γ5 | -0.0495 | -0.78 |
| γ6 | 0.0001 | 0.00 |
| γ7 | 0.0745 | 1.07 |
| γ8 | -0.1142 | -1.52 |
| γ9 | 0.0737 | 1.26 |
0.435
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2035 | 7.12*** |
α ARCH Response to squared shocks | 0.0844 | 3.09*** |
β GARCH Volatility persistence | 0.3506 | 1.17 |
Spline Coefficients
K=9
| γ1 | -0.7045 | -7.56*** |
| γ2 | 0.9158 | 6.74*** |
| γ3 | -0.2803 | -4.16*** |
| γ4 | 0.1022 | 1.95* |
| γ5 | -0.0495 | -0.78 |
| γ6 | 0.0001 | 0.00 |
| γ7 | 0.0745 | 1.07 |
| γ8 | -0.1142 | -1.52 |
| γ9 | 0.0737 | 1.26 |
Persistence:
0.435
Half-life:
1 days
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