V-Lab
RBOB Gasoline GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
42.02%
decreased by 2.04%
1 Week
42.02%
decreased by 2.04%
1 Month
42.04%
decreased by 2.02%
Analysis last updated: Saturday, September 19, 2026 at 04:07 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2000 to Sep 18, 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 = 5.35 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 58-day half-lifev = 5.35 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.0887 | 1.30 |
| αARCH | 0.0626 | 9.05*** |
| βGARCH | 0.9880 | 105.34*** |
| νDF | 5.3468 | 1.94* |
0.988
Persistence58d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.0887 | 1.30 |
α ARCH Response to squared shocks | 0.0626 | 9.05*** |
β GARCH Volatility persistence | 0.9880 | 105.34*** |
ν DF Student-t tail thickness | 5.3468 | 1.94* |
Persistence:
0.988
Half-life:
58 days
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