RBOB Gasoline GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
40.37%
decreased by 1.89%
1 Week
40.42%
decreased by 1.84%
1 Month
40.58%
decreased by 1.68%
Analysis last updated: Saturday, October 10, 2026 at 04:04 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 9, 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
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Shock decay: Shocks decay with a 58-day half-lifev = 5.35 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.0801 | 1.30 |
| αARCH | 0.0624 | 9.07*** |
| βGARCH | 0.9881 | 105.79*** |
| νDF | 5.3539 | 1.93* |
0.988
Persistence58d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.0801 | 1.30 |
α ARCH Response to squared shocks | 0.0624 | 9.07*** |
β GARCH Volatility persistence | 0.9881 | 105.79*** |
ν DF Student-t tail thickness | 5.3539 | 1.93* |
Persistence:
0.988
Half-life:
58 days
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