COMEX Gold GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
19.70%
increased by 0.51%
1 Week
19.66%
increased by 0.47%
1 Month
19.53%
increased by 0.34%
Analysis last updated: Saturday, October 10, 2026 at 04:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 9, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 86 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 = 4.93 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 ~86 daysv = 4.93 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2050 | 1.14 |
| αARCH | 0.0383 | 6.89*** |
| βGARCH | 0.9920 | 123.12*** |
| νDF | 4.9317 | 1.81* |
0.992
Persistence86d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2050 | 1.14 |
α ARCH Response to squared shocks | 0.0383 | 6.89*** |
β GARCH Volatility persistence | 0.9920 | 123.12*** |
ν DF Student-t tail thickness | 4.9317 | 1.81* |
Persistence:
0.992
Half-life:
86 days
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