V-Lab
CBOT Oats Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
34.78%
decreased by 0.50%
1 Week
35.76%
increased by 0.48%
1 Month
36.09%
increased by 0.81%
Analysis last updated: Thursday, September 10, 2026 at 09:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 1999 to Sep 4, 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 | 0.1839 | 6.19*** |
| αARCH | 0.0839 | 2.96*** |
| βGARCH | 0.2793 | 0.89 |
Spline Coefficients
K=10
| γ1 | -0.8526 | -7.30*** |
| γ2 | 1.0451 | 6.45*** |
| γ3 | -0.1883 | -2.32** |
| γ4 | -0.0641 | -0.92 |
| γ5 | 0.1439 | 2.45** |
| γ6 | -0.1685 | -2.52** |
| γ7 | 0.1223 | 1.35 |
| γ8 | 0.0055 | 0.05 |
| γ9 | -0.1134 | -0.99 |
| γ10 | 0.0978 | 1.18 |
0.363
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1839 | 6.19*** |
α ARCH Response to squared shocks | 0.0839 | 2.96*** |
β GARCH Volatility persistence | 0.2793 | 0.89 |
Spline Coefficients
K=10
| γ1 | -0.8526 | -7.30*** |
| γ2 | 1.0451 | 6.45*** |
| γ3 | -0.1883 | -2.32** |
| γ4 | -0.0641 | -0.92 |
| γ5 | 0.1439 | 2.45** |
| γ6 | -0.1685 | -2.52** |
| γ7 | 0.1223 | 1.35 |
| γ8 | 0.0055 | 0.05 |
| γ9 | -0.1134 | -0.99 |
| γ10 | 0.0978 | 1.18 |
Persistence:
0.363
Half-life:
1 days
Other CBOT Oats Analyses
Other Zero Slope Spline-GARCH Analyses on Commodities