V-Lab
COMEX Gold GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
26.65%
increased by 1.05%
1 Week
26.54%
increased by 0.94%
1 Month
26.08%
increased by 0.48%
Analysis last updated: Saturday, August 8, 2026 at 04:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Aug 7, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 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 = 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 | 1.2178 | 4.61*** |
α ARCH Response to squared shocks | 0.0384 | 28.16*** |
β GARCH Volatility persistence | 0.9922 | 512.49*** |
ν DF Student-t tail thickness | 4.9356 | 7.46*** |
Persistence:
0.992
Half-life:
88 days
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