V-Lab
ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
66.55%
decreased by 1.82%
1 Week
66.33%
decreased by 2.04%
1 Month
65.44%
decreased by 2.93%
Analysis last updated: Friday, August 14, 2026 at 01:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2001 to Aug 7, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 142 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1810 | 6.05*** |
α ARCH Response to squared shocks | 0.0345 | 31.95*** |
β GARCH Volatility persistence | 0.9951 | 1,111.88*** |
ν DF Student-t tail thickness | 5.4158 | 10.78*** |
Persistence:
0.995
Half-life:
142 days
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