ICE US Sugar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
32.09%
1 Week
32.10%
1 Month
32.15%
Analysis last updated: Saturday, October 31, 2026 at 04:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2000 to Oct 30, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 130 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 = 6.69 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.4381 | 1.20 |
| αscore | 0.0288 | 7.44*** |
| βpersistence | 0.9947 | 218.56*** |
| νDF | 6.6858 | 1.01 |
0.995
Persistence130d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.4381 | 1.20 |
α score Weight on the scaled score | 0.0288 | 7.44*** |
β persistence Volatility persistence | 0.9947 | 218.56*** |
ν DF Student-t tail thickness | 6.6858 | 1.01 |
Persistence:
0.995
Half-life:
130 days
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