V-Lab
COMEX Gold GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
24.36%
increased by 1.63%
1 Week
24.27%
increased by 1.54%
1 Month
23.91%
increased by 1.18%
Analysis last updated: Sunday, August 30, 2026 at 04:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Aug 28, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2141 | 1.15 |
α ARCH Response to squared shocks | 0.0383 | 7.01*** |
β GARCH Volatility persistence | 0.9922 | 127.12*** |
ν DF Student-t tail thickness | 4.9335 | 1.85* |
Persistence:
0.992
Half-life:
88 days
Other GAS-GARCH Student T Analyses on Commodities