COMEX Copper GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
25.62%
decreased by 0.86%
1 Week
25.63%
decreased by 0.85%
1 Month
25.65%
decreased by 0.83%
Analysis last updated: Friday, July 17, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 10, 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 | 2.6818 | 5.19*** |
α ARCH Response to squared shocks | 0.0433 | 25.88*** |
β GARCH Volatility persistence | 0.9912 | 529.75*** |
ν DF Student-t tail thickness | 6.3731 | 4.51*** |
Persistence:
0.991
Half-life:
78 days
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