ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
57.99%
1 Week
57.80%
1 Month
57.08%
Analysis last updated: Friday, October 30, 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 Oct 23, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.63 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.1845 | 1.50 |
| αscore | 0.0354 | 7.52*** |
| βpersistence | 0.9947 | 250.94*** |
| νDF | 5.6273 | 2.35** |
0.995
Persistence131d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.1845 | 1.50 |
α score Weight on the scaled score | 0.0354 | 7.52*** |
β persistence Volatility persistence | 0.9947 | 250.94*** |
ν DF Student-t tail thickness | 5.6273 | 2.35** |
Persistence:
0.995
Half-life:
131 days
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