CBOT Soybeans Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
14.46%
decreased by 0.30%
1 Week
14.69%
decreased by 0.07%
1 Month
15.49%
increased by 0.73%
Analysis last updated: Friday, October 30, 2026 at 05:17 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 Oct 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 43 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9116 | 7.76*** |
| αARCH | 0.0671 | 8.09*** |
| βGARCH | 0.9171 | 107.21*** |
Spline Coefficients
K=2
| γ1 | -0.0064 | -2.34** |
| γ2 | 0.0088 | 2.50** |
0.984
Persistence43d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9116 | 7.76*** |
α ARCH Response to squared shocks | 0.0671 | 8.09*** |
β GARCH Volatility persistence | 0.9171 | 107.21*** |
Spline Coefficients
K=2
| γ1 | -0.0064 | -2.34** |
| γ2 | 0.0088 | 2.50** |
Persistence:
0.984
Half-life:
43 days
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