V-Lab
COMEX Copper GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
24.87%
decreased by 0.79%
1 Week
24.89%
decreased by 0.77%
1 Month
24.96%
decreased by 0.70%
Analysis last updated: Friday, August 7, 2026 at 05:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 31, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.37 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 | 2.6721 | 5.19*** |
α ARCH Response to squared shocks | 0.0432 | 25.81*** |
β GARCH Volatility persistence | 0.9911 | 526.63*** |
ν DF Student-t tail thickness | 6.3715 | 4.48*** |
Persistence:
0.991
Half-life:
78 days
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