NY Harbor ULSD Heating Oil GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
58.07%
decreased by 1.64%
1 Week
57.97%
decreased by 1.74%
1 Month
57.55%
decreased by 2.16%
Analysis last updated: Friday, July 17, 2026 at 05:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 4, 2000 to Jul 10, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 152 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.61 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 | 7.9626 | 4.72*** |
α ARCH Response to squared shocks | 0.0668 | 48.12*** |
β GARCH Volatility persistence | 0.9955 | 1,082.03*** |
ν DF Student-t tail thickness | 7.6122 | 6.59*** |
Persistence:
0.995
Half-life:
152 days
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