V-Lab
SPDR Gold Shares GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
25.22%
increased by 2.76%
1 Week
25.13%
increased by 2.67%
1 Month
24.78%
increased by 2.32%
Analysis last updated: Monday, September 28, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2004 to Sep 25, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 92 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 = 5.81 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.992, shock half-life ~92 daysv = 5.81 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3160 | 1.02 |
| αARCH | 0.0480 | 7.74*** |
| βGARCH | 0.9925 | 124.73*** |
| νDF | 5.8082 | 1.37 |
0.992
Persistence92d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3160 | 1.02 |
α ARCH Response to squared shocks | 0.0480 | 7.74*** |
β GARCH Volatility persistence | 0.9925 | 124.73*** |
ν DF Student-t tail thickness | 5.8082 | 1.37 |
Persistence:
0.992
Half-life:
92 days
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