CBOT Oats Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
36.50%
increased by 2.20%
1 Week
36.01%
increased by 1.71%
1 Month
35.82%
increased by 1.52%
Analysis last updated: Saturday, October 10, 2026 at 04:05 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 9, 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 | 0.2062 | 7.26*** |
| αARCH | 0.0846 | 3.08*** |
| βGARCH | 0.3445 | 1.14 |
Spline Coefficients
K=9
| γ1 | -0.6977 | -7.56*** |
| γ2 | 0.9084 | 6.73*** |
| γ3 | -0.2807 | -4.18*** |
| γ4 | 0.1051 | 2.02** |
| γ5 | -0.0539 | -0.85 |
| γ6 | 0.0049 | 0.08 |
| γ7 | 0.0706 | 1.00 |
| γ8 | -0.1134 | -1.50 |
| γ9 | 0.0755 | 1.29 |
0.429
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2062 | 7.26*** |
α ARCH Response to squared shocks | 0.0846 | 3.08*** |
β GARCH Volatility persistence | 0.3445 | 1.14 |
Spline Coefficients
K=9
| γ1 | -0.6977 | -7.56*** |
| γ2 | 0.9084 | 6.73*** |
| γ3 | -0.2807 | -4.18*** |
| γ4 | 0.1051 | 2.02** |
| γ5 | -0.0539 | -0.85 |
| γ6 | 0.0049 | 0.08 |
| γ7 | 0.0706 | 1.00 |
| γ8 | -0.1134 | -1.50 |
| γ9 | 0.0755 | 1.29 |
Persistence:
0.429
Half-life:
1 days
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