V-Lab
COMEX Gold GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
25.57%
decreased by 0.89%
1 Week
25.46%
decreased by 1.00%
1 Month
25.05%
decreased by 1.41%
Analysis last updated: Friday, August 7, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Jul 31, 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2120 | 4.60*** |
α ARCH Response to squared shocks | 0.0385 | 27.82*** |
β GARCH Volatility persistence | 0.9920 | 501.29*** |
ν DF Student-t tail thickness | 4.9376 | 7.33*** |
Persistence:
0.992
Half-life:
87 days
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