ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
80.16%
decreased by 0.44%
1 Week
79.85%
decreased by 0.75%
1 Month
78.67%
decreased by 1.93%
Analysis last updated: Friday, July 17, 2026 at 01:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2001 to Jul 10, 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.2267 | 6.10*** |
α ARCH Response to squared shocks | 0.0346 | 32.48*** |
β GARCH Volatility persistence | 0.9952 | 1,155.90*** |
ν DF Student-t tail thickness | 5.3960 | 11.14*** |
Persistence:
0.995
Half-life:
145 days
Other ICE US Orange Juice Analyses
Other GAS-GARCH Student T Analyses on Commodities