CBOE Gold Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
71.31%
increased by 0.62%
1 Week
73.30%
increased by 2.61%
1 Month
77.98%
increased by 7.29%
Analysis last updated: Tuesday, October 27, 2026 at 12:15 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 5.17 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 8-day half-lifev = 5.17 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 28.0569 | 3.04*** |
| αscore | 0.1048 | 4.60*** |
| βpersistence | 0.9216 | 34.39*** |
| νDF | 5.1665 | 1.30 |
0.922
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 28.0569 | 3.04*** |
α score Weight on the scaled score | 0.1048 | 4.60*** |
β persistence Volatility persistence | 0.9216 | 34.39*** |
ν DF Student-t tail thickness | 5.1665 | 1.30 |
Persistence:
0.922
Half-life:
8 days
Other CBOE Gold Volatility Index Analyses
Other GAS-GARCH Student T Analyses on Volatility Indices