V-Lab
CBOE Gold Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
61.55%
decreased by 3.84%
1 Week
65.28%
decreased by 0.11%
1 Month
73.66%
increased by 8.27%
Analysis last updated: Tuesday, October 6, 2026 at 12:09 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. Returns follow a Student-t distribution with v = 5.14 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 9-day half-lifev = 5.14 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 28.0062 | 3.02*** |
| αARCH | 0.1046 | 4.62*** |
| βGARCH | 0.9219 | 34.41*** |
| νDF | 5.1380 | 1.31 |
0.922
Persistence9d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 28.0062 | 3.02*** |
α ARCH Response to squared shocks | 0.1046 | 4.62*** |
β GARCH Volatility persistence | 0.9219 | 34.41*** |
ν DF Student-t tail thickness | 5.1380 | 1.31 |
Persistence:
0.922
Half-life:
9 days
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