V-Lab
ICE US Orange Juice GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
62.58%
increased by 0.01%
1 Week
62.37%
decreased by 0.20%
1 Month
61.54%
decreased by 1.03%
Analysis last updated: Sunday, August 30, 2026 at 04:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2001 to Aug 28, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 136 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 = 5.42 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 | 5.1461 | 1.49 |
α ARCH Response to squared shocks | 0.0349 | 7.85*** |
β GARCH Volatility persistence | 0.9949 | 259.02*** |
ν DF Student-t tail thickness | 5.4189 | 2.59*** |
Persistence:
0.995
Half-life:
136 days
Other ICE US Orange Juice Analyses
Other GAS-GARCH Student T Analyses on Commodities