COMEX Copper GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
21.76%
increased by 0.93%
1 Week
21.84%
increased by 1.01%
1 Month
22.14%
increased by 1.31%
Analysis last updated: Saturday, October 10, 2026 at 04:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 9, 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 = 6.35 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~76 daysv = 6.35 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6521 | 1.30 |
| αARCH | 0.0431 | 6.39*** |
| βGARCH | 0.9910 | 129.13*** |
| νDF | 6.3526 | 1.11 |
0.991
Persistence76d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6521 | 1.30 |
α ARCH Response to squared shocks | 0.0431 | 6.39*** |
β GARCH Volatility persistence | 0.9910 | 129.13*** |
ν DF Student-t tail thickness | 6.3526 | 1.11 |
Persistence:
0.991
Half-life:
76 days
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