CBOT Soybeans GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
17.15%
decreased by 0.59%
1 Week
17.31%
decreased by 0.43%
1 Month
17.92%
increased by 0.18%
Analysis last updated: Friday, November 13, 2026 at 06:18 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 2000 to Nov 6, 2026Model Insight
Volatility shocks decay with a half-life of 62 trading days, meaning a shock loses half its impact after approximately 62 days. Returns follow a Student-t distribution with ν = 6.73 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 62-day half-lifeν = 6.73 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.2088 | 1.60 |
| αscore | 0.0533 | 7.14*** |
| βpersistence | 0.9889 | 157.65*** |
| νDF | 6.7295 | 1.20 |
0.989
Persistence62d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.2088 | 1.60 |
α score Weight on the scaled score | 0.0533 | 7.14*** |
β persistence Volatility persistence | 0.9889 | 157.65*** |
ν DF Student-t tail thickness | 6.7295 | 1.20 |
Persistence:
0.989
Half-life:
62 days
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