SPDR Gold Shares GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, November 10th, 2026
1 Day
24.85%
1 Week
24.77%
1 Month
24.45%
Analysis last updated: Monday, November 9, 2026 at 10:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2004 to Nov 6, 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 = 5.85 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.3312 | 1.03 |
| αscore | 0.0476 | 7.87*** |
| βpersistence | 0.9927 | 129.41*** |
| νDF | 5.8543 | 1.37 |
0.993
Persistence94d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.3312 | 1.03 |
α score Weight on the scaled score | 0.0476 | 7.87*** |
β persistence Volatility persistence | 0.9927 | 129.41*** |
ν DF Student-t tail thickness | 5.8543 | 1.37 |
Persistence:
0.993
Half-life:
94 days
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