V-Lab
RBOB Gasoline GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
51.55%
increased by 1.54%
1 Week
51.35%
increased by 1.34%
1 Month
50.58%
increased by 0.57%
Analysis last updated: Friday, August 7, 2026 at 05:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2000 to Jul 31, 2026Model Insight
Volatility shocks decay with a half-life of 57 trading days, meaning a shock loses half its impact after approximately 57 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.0670 | 5.26*** |
α ARCH Response to squared shocks | 0.0632 | 36.08*** |
β GARCH Volatility persistence | 0.9878 | 419.63*** |
ν DF Student-t tail thickness | 5.3769 | 7.69*** |
Persistence:
0.988
Half-life:
57 days
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