V-Lab
SPDR Gold Shares GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
24.33%
decreased by 0.63%
1 Week
24.25%
decreased by 0.71%
1 Month
23.94%
decreased by 1.02%
Analysis last updated: Monday, July 27, 2026 at 09:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2004 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.79 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 | 1.3145 | 4.08*** |
α ARCH Response to squared shocks | 0.0483 | 30.74*** |
β GARCH Volatility persistence | 0.9924 | 493.71*** |
ν DF Student-t tail thickness | 5.7924 | 5.46*** |
Persistence:
0.992
Half-life:
90 days
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