V-Lab
COMEX Copper GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
21.16%
decreased by 0.57%
1 Week
21.25%
decreased by 0.48%
1 Month
21.60%
decreased by 0.13%
Analysis last updated: Sunday, August 30, 2026 at 04:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Aug 28, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 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 | 2.6529 | 1.30 |
α ARCH Response to squared shocks | 0.0435 | 6.40*** |
β GARCH Volatility persistence | 0.9909 | 128.84*** |
ν DF Student-t tail thickness | 6.3746 | 1.11 |
Persistence:
0.991
Half-life:
76 days
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