V-Lab
ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
71.47%
decreased by 1.86%
1 Week
71.22%
decreased by 2.11%
1 Month
70.22%
decreased by 3.11%
Analysis last updated: Thursday, August 6, 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 Jul 31, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 143 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 = 5.41 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 | 5.1918 | 6.06*** |
α ARCH Response to squared shocks | 0.0345 | 32.09*** |
β GARCH Volatility persistence | 0.9952 | 1,124.48*** |
ν DF Student-t tail thickness | 5.4117 | 10.87*** |
Persistence:
0.995
Half-life:
143 days
Other ICE US Orange Juice Analyses
Other GAS-GARCH Student T Analyses on Commodities