S&P GSCI Feeder Cattle Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
16.68%
increased by 1.29%
1 Week
16.67%
increased by 1.28%
1 Month
16.63%
increased by 1.24%
Analysis last updated: Tuesday, July 14, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2002 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 50 trading days, meaning a shock loses half its impact after approximately 50 days. Returns follow a Student-t distribution with v = 10.43 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 | 1.0468 | 14.24*** |
α ARCH Response to squared shocks | 0.0513 | 22.70*** |
β GARCH Volatility persistence | 0.9862 | 882.08*** |
ν DF Student-t tail thickness | 10.4311 | 3.28*** |
Persistence:
0.986
Half-life:
50 days
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