V-Lab
COMEX Gold GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
22.11%
1 Week
22.05%
1 Month
21.79%
Analysis last updated: Saturday, September 19, 2026 at 04:07 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Sep 18, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 87 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.94 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2095 | 1.15 |
| αARCH | 0.0383 | 6.96*** |
| βGARCH | 0.9921 | 125.42*** |
| νDF | 4.9422 | 1.82* |
0.992
Persistence87d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2095 | 1.15 |
α ARCH Response to squared shocks | 0.0383 | 6.96*** |
β GARCH Volatility persistence | 0.9921 | 125.42*** |
ν DF Student-t tail thickness | 4.9422 | 1.82* |
Persistence:
0.992
Half-life:
87 days
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