RBOB Gasoline GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
32.29%
decreased by 1.48%
1 Week
32.56%
decreased by 1.21%
1 Month
33.54%
decreased by 0.23%
Analysis last updated: Friday, October 30, 2026 at 05:15 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2000 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 58 trading days, meaning a shock loses half its impact after approximately 58 days. Returns follow a Student-t distribution with v = 5.38 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 58-day half-lifev = 5.38 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 7.0905 | 1.30 |
| αscore | 0.0629 | 9.09*** |
| βpersistence | 0.9880 | 105.23*** |
| νDF | 5.3832 | 1.91* |
0.988
Persistence58d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 7.0905 | 1.30 |
α score Weight on the scaled score | 0.0629 | 9.09*** |
β persistence Volatility persistence | 0.9880 | 105.23*** |
ν DF Student-t tail thickness | 5.3832 | 1.91* |
Persistence:
0.988
Half-life:
58 days
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