This study investigates the impact of six major USDA reports in hog and cattle markets: cattle, cattle on feed, cold storage, hogs and pigs, livestock, dairy, and poultry outlook (LDPO); and the world agricultural supply and demand estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure the impact of USDA Reports and other external factors, is used to model close-to-open live/lean hog and live cattle futures returns from January 1985 to through December 2004. The analysis revealed a statistically significant impact of all but cattle and cold storage reports in live/lean hog futures. Hogs and pig reports had the highest impact on live/lean hog returns by increasing conditional standard deviation 96%. Cattle, cattle on feed, and hogs and pigs reports had the highest impact on live cattle returns by increasing conditional standard deviation 26% and 37.5%.