V-Lab
SPDR Gold Shares GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
27.75%
increased by 0.39%
1 Week
27.64%
increased by 0.28%
1 Month
27.20%
decreased by 0.16%
Analysis last updated: Tuesday, September 8, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2004 to Sep 4, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 94 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
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High persistence: persistence 0.993, shock half-life ~94 daysv = 5.79 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3323 | 1.02 |
| αARCH | 0.0479 | 7.88*** |
| βGARCH | 0.9927 | 129.20*** |
| νDF | 5.7947 | 1.40 |
0.993
Persistence94d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3323 | 1.02 |
α ARCH Response to squared shocks | 0.0479 | 7.88*** |
β GARCH Volatility persistence | 0.9927 | 129.20*** |
ν DF Student-t tail thickness | 5.7947 | 1.40 |
Persistence:
0.993
Half-life:
94 days
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