V-Lab
ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
72.55%
1 Week
72.29%
1 Month
71.28%
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 17, 2001 to Sep 18, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 145 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 = 5.40 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.1989 | 1.52 |
| αARCH | 0.0343 | 8.15*** |
| βGARCH | 0.9952 | 285.17*** |
| νDF | 5.4006 | 2.76*** |
0.995
Persistence145d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1989 | 1.52 |
α ARCH Response to squared shocks | 0.0343 | 8.15*** |
β GARCH Volatility persistence | 0.9952 | 285.17*** |
ν DF Student-t tail thickness | 5.4006 | 2.76*** |
Persistence:
0.995
Half-life:
145 days
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