CBOE Gold Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, November 4th, 2026
1 Day
75.54%
decreased by 5.65%
1 Week
76.85%
decreased by 4.34%
1 Month
79.99%
decreased by 1.20%
Analysis last updated: Wednesday, November 4, 2026 at 01:05 AM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2008 to Oct 30, 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 = 5.15 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 = 5.15 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 28.1115 | 3.02*** |
| αscore | 0.1044 | 4.57*** |
| βpersistence | 0.9214 | 34.01*** |
| νDF | 5.1462 | 1.29 |
0.921
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 28.1115 | 3.02*** |
α score Weight on the scaled score | 0.1044 | 4.57*** |
β persistence Volatility persistence | 0.9214 | 34.01*** |
ν DF Student-t tail thickness | 5.1462 | 1.29 |
Persistence:
0.921
Half-life:
8 days
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