V-Lab
NY Harbor ULSD Heating Oil GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
40.05%
decreased by 0.54%
1 Week
40.09%
decreased by 0.50%
1 Month
40.25%
decreased by 0.34%
Analysis last updated: Sunday, August 30, 2026 at 04:19 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 4, 2000 to Aug 28, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 150 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 = 7.60 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 | 7.8360 | 1.17 |
α ARCH Response to squared shocks | 0.0666 | 11.88*** |
β GARCH Volatility persistence | 0.9954 | 262.91*** |
ν DF Student-t tail thickness | 7.5965 | 1.63 |
Persistence:
0.995
Half-life:
150 days
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