V-Lab
CBOE Gold Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
73.34%
decreased by 3.89%
1 Week
75.00%
decreased by 2.23%
1 Month
78.92%
increased by 1.69%
Analysis last updated: Saturday, September 5, 2026 at 12:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Sep 4, 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 = 5.16 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 8-day half-lifev = 5.16 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 28.0526 | 3.05*** |
| αARCH | 0.1058 | 4.64*** |
| βGARCH | 0.9213 | 34.60*** |
| νDF | 5.1625 | 1.31 |
0.921
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 28.0526 | 3.05*** |
α ARCH Response to squared shocks | 0.1058 | 4.64*** |
β GARCH Volatility persistence | 0.9213 | 34.60*** |
ν DF Student-t tail thickness | 5.1625 | 1.31 |
Persistence:
0.921
Half-life:
8 days
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